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作者 Alejandro Quinones, Angel Luis
書名 A study of a diffusive model of asset returns and an empirical analysis of financial markets
國際標準書號 9780542739699
book jacket
說明 122 p
附註 Source: Dissertation Abstracts International, Volume: 67-06, Section: B, page: 3175
Adviser: Kevin E. Bassler
Thesis (Ph.D.)--University of Houston, 2006
A diffusive model for market dynamics is studied and the predictions of the model are compared to real financial markets. The model has a non-constant diffusion coefficient which depends both on the asset value and the time. A general solution for the distribution of returns is obtained and shown to match the results of computer simulations for two simple cases, piecewise linear and quadratic diffusion. The effects of discreteness in the market dynamics on the model are also studied. For the quadratic diffusion case, a type of phase transition leading to fat tails is observed as the discrete distribution approaches the continuum limit. It is also found that the model captures some of the empirical stylized facts observed in real markets, including fat-tails and scaling behavior in the distribution of returns. An analysis of empirical data for the EUR/USD currency exchange rate and the S&P 500 index is performed. Both markets show time scaling behavior consistent with a value of 1/2 for the Hurst exponent. Finally, the results show that the distribution of returns for the two markets is well fitted by the model, and the corresponding empirical diffusion coefficients are determined
School code: 0087
Host Item Dissertation Abstracts International 67-06B
主題 Statistics
Economics, Finance
Physics, General
Alt Author University of Houston
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