Levy models and long correlations applied to the study of exchange traded funds

Autor:	E. Ncheuguim, Delia J. Valles-Rosales, J. D. Libbin, M. P. Beccar Varela, Maria C. Mariani, K. J. Martin, Christopher Erickson, V. Kumar Mani
Rok vydání:	2009
Předmět:	Actuarial science Computational Theory and Mathematics Lévy flight Applied Mathematics Range (statistics) Computer Science Applications Mathematics
Zdroj:	International Journal of Computer Mathematics. 86:1040-1053
ISSN:	1029-0265 0020-7160
Popis:	This work is devoted to the study of statistical properties of Exchange Traded Funds (ETF). Some of the leading ETF in the market are analysed by using the Hurst and DFA methods to detect long range correlations, and the Levy models to describe the return distributions. It is concluded that the statistical behaviour of the ETF is very similar to the behaviour of the corresponding financial indices that they mimic.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::5ff2d13c43e60633e9294062b3d4c7f1 https://doi.org/10.1080/00207160902763765 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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