- Tytuł:
- Short Comprehensive Report on the Non-Brownian Stochastic Dynamics at Financial and Commodity Markets
- Autorzy:
-
Ciepliński, T.
Dominiczak, A.
Kutner, R. - Powiązania:
- https://bibliotekanauki.pl/articles/1408963.pdf
- Data publikacji:
- 2012-02
- Wydawca:
- Polska Akademia Nauk. Instytut Fizyki PAN
- Tematy:
-
89.20.-a
89.65.Gh
02.50.Ey
02.50.Ga
05.40.Fb - Opis:
- In this work we empirically verify the generic breaking of the Central Limit Theorem on the financial and commodity markets. We analysed the distributions of log-returns for typical indices and price of gold, for increasing time horizons. We considered Random Coarse Graining Transformation of the Continuous-Time Random Walk model, which can represent the non-Gaussian price dynamics of underlying assets and the corresponding derivatives, e.g., various options or future contracts. We confirmed that empirical data and predictions of the model quite well agree.
- Źródło:
-
Acta Physica Polonica A; 2012, 121, 2B; B-24-B-27
0587-4246
1898-794X - Pojawia się w:
- Acta Physica Polonica A
- Dostawca treści:
- Biblioteka Nauki
Artykuł