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A study of a diffusive model of asse...

Alejandro Quinones, Angel Luis.

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A study of a diffusive model of asset returns and an empirical analysis of financial markets.

Record Type:	Electronic resources : Monograph/item
Title/Author:	A study of a diffusive model of asset returns and an empirical analysis of financial markets./
Author:	Alejandro Quinones, Angel Luis.
Description:	122 p.
Notes:	Source: Dissertation Abstracts International, Volume: 67-06, Section: B, page: 3175.
Contained By:	Dissertation Abstracts International67-06B.
Subject:	Statistics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3221240
ISBN:	9780542739699

A study of a diffusive model of asset returns and an empirical analysis of financial markets.
Alejandro Quinones, Angel Luis.

A study of a diffusive model of asset returns and an empirical analysis of financial markets. - 122 p.

Source: Dissertation Abstracts International, Volume: 67-06, Section: B, page: 3175.

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.

ISBN: 9780542739699Subjects--Topical Terms:

517247
Statistics.

A study of a diffusive model of asset returns and an empirical analysis of financial markets.
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020 $a 9780542739699
035 $a (UMI)AAI3221240
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100 1 $a Alejandro Quinones, Angel Luis. $3 1922650
245 1 2 $a A study of a diffusive model of asset returns and an empirical analysis of financial markets.
300 $a 122 p.
500 $a Source: Dissertation Abstracts International, Volume: 67-06, Section: B, page: 3175.
500 $a Adviser: Kevin E. Bassler.
502 $a Thesis (Ph.D.)--University of Houston, 2006.
520 $a 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 $a School code: 0087.
650 4 $a Statistics. $3 517247
650 4 $a Economics, Finance. $3 626650
650 4 $a Physics, General. $3 1018488
690 $a 0463
690 $a 0508
690 $a 0605
710 2 0 $a University of Houston. $3 1019266
773 0 $t Dissertation Abstracts International $g 67-06B.
790 1 0 $a Bassler, Kevin E., $e advisor
790 $a 0087
791 $a Ph.D.
792 $a 2006
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3221240