MARC 主機 00000nam  2200349   4500 
001    AAI3221240 
005    20071112134937.5 
008    071112s2006                        eng d 
020    9780542739699 
035    (UMI)AAI3221240 
040    UMI|cUMI 
100 1  Alejandro Quinones, Angel Luis 
245 12 A study of a diffusive model of asset returns and an 
       empirical analysis of financial markets 
300    122 p 
500    Source: Dissertation Abstracts International, Volume: 67-
       06, Section: B, page: 3175 
500    Adviser: Kevin E. Bassler 
502    Thesis (Ph.D.)--University of Houston, 2006 
520    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 
590    School code: 0087 
590    DDC 
650  4 Statistics 
650  4 Economics, Finance 
650  4 Physics, General 
690    0463 
690    0508 
690    0605 
710 20 University of Houston 
773 0  |tDissertation Abstracts International|g67-06B 
856 40 |u