### Scaling and multiscaling in financial series: a simple model

#### Abstract

We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate, and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a crossover in the log-return distribution from power-law tails (small time) to a Gaussian behavior (large time), slow decay in the volatility autocorrelation, and multiscaling of moments. Despite its few parameters, the model is able to fit several key features of the time series of financial indexes, such as the Dow Jones Industrial Average, with remarkable accuracy.

#### Article information

Source
Adv. in Appl. Probab., Volume 44, Number 4 (2012), 1018-1051.

Dates
First available in Project Euclid: 5 December 2012

https://projecteuclid.org/euclid.aap/1354716588

Digital Object Identifier
doi:10.1239/aap/1354716588

Mathematical Reviews number (MathSciNet)
MR3052848

Zentralblatt MATH identifier
1271.91054

#### Citation

ANDREOLI, ALESSANDRO; CARAVENNA, FRANCESCO; DAI PRA, PAOLO; POSTA, GUSTAVO. Scaling and multiscaling in financial series: a simple model. Adv. in Appl. Probab. 44 (2012), no. 4, 1018--1051. doi:10.1239/aap/1354716588. https://projecteuclid.org/euclid.aap/1354716588

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