Distributions of Historic Market Data - Stock Returns

Autor:	Liu, Zhiyuan, Moghaddam, M. Dashti, Serota, R. A.
Rok vydání:	2017
Předmět:	Quantitative Finance - Mathematical Finance Quantitative Finance - Statistical Finance
Zdroj:	European Physical Journal B (2019) 92: 60
Druh dokumentu:	Working Paper
DOI:	10.1140/epjb/e2019-90218-8
Popis:	We show that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-law tails of volatility and stock returns. We also show that the mean realized variance of returns is a linear function of the number of days over which the returns are calculated. The slope is determined by the mean value of the variance (squared volatility) in the mean-reverting stochastic volatility models, such as Heston and multiplicative, independent of stochasticity. The distribution function of stock returns, which rescales with the increase of the number of days of return, is obtained from the steady-state variance distribution function using the product distribution with the normal distribution. Comment: 13 pages, 10 figures, 1 table
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1711.11003 Zobrazit plný text záznamu View this record from Arxiv