dorsal/arxiv
View SchemaOn collective non-gaussian dependence patterns in high frequency financial data
| Authors | Andrei Leonidov, Vladimir Trainin, Alexander Zaitsev |
|---|---|
| Categories | |
| ArXiv ID | physics/0506072 |
| URL | https://arxiv.org/abs/physics/0506072 |
Abstract
The analysis of observed conditional distributions of both lagged and simultaneous intraday price increments of a basket of stocks reveals phenomena of dependence - induced volatility smile and kurtosis reduction. A model based on multivariate t-Student distribution shows that the observed effects are caused by colelctive non-gaussian dependence properties of financial time series.
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"abstract": "The analysis of observed conditional distributions of both lagged and\nsimultaneous intraday price increments of a basket of stocks reveals phenomena\nof dependence - induced volatility smile and kurtosis reduction. A model based\non multivariate t-Student distribution shows that the observed effects are\ncaused by colelctive non-gaussian dependence properties of financial time\nseries.",
"arxiv_id": "physics/0506072",
"authors": [
"Andrei Leonidov",
"Vladimir Trainin",
"Alexander Zaitsev"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"title": "On collective non-gaussian dependence patterns in high frequency financial data",
"url": "https://arxiv.org/abs/physics/0506072"
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