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December 2012 Scaling and multiscaling in financial series: a simple model
ALESSANDRO ANDREOLI, FRANCESCO CARAVENNA, PAOLO DAI PRA, GUSTAVO POSTA
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Adv. in Appl. Probab. 44(4): 1018-1051 (December 2012). DOI: 10.1239/aap/1354716588

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.

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ALESSANDRO ANDREOLI. FRANCESCO CARAVENNA. PAOLO DAI PRA. GUSTAVO POSTA. "Scaling and multiscaling in financial series: a simple model." Adv. in Appl. Probab. 44 (4) 1018 - 1051, December 2012. https://doi.org/10.1239/aap/1354716588

Information

Published: December 2012
First available in Project Euclid: 5 December 2012

zbMATH: 1271.91054
MathSciNet: MR3052848
Digital Object Identifier: 10.1239/aap/1354716588

Subjects:
Primary: 60G44
Secondary: 91B25, 91G70

Rights: Copyright © 2012 Applied Probability Trust

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Vol.44 • No. 4 • December 2012
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