Common Underlying Dynamics in an Emerging Market: From Minutes to Months

Renato Vicente, Charles M. de Toledo, Vitor B. P. Leite and Nestor Caticha

Papers from arXiv.org

Abstract: We analyse a period spanning 35 years of activity in the Sao Paulo Stock Exchange Index (IBOVESPA) and show that the Heston model with stochastic volatility is capable of explaining price fluctuations for time scales ranging from 5 minutes to 100 days with a single set of parameters. We also show that the Heston model is inconsistent with the observed behavior of the volatility autocorrelation function. We deal with the latter inconsistency by introducing a slow time scale to the model. The fact that the price dynamics in a period of 35 years of macroeconomical unrest may be modeled by the same stochastic process is evidence for a general underlying microscopic market dynamics.

Date: 2004-02
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/cond-mat/0402185 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0402185

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().