Market symmetry in time-changed Brownian models

José Fajardo () and Ernesto Mordecki

Finance Research Letters, 2010, vol. 7, issue 1, 53-59

Abstract: In this paper we examine which Brownian subordination with drift exhibits the symmetry property introduced by Fajardo and Mordecki [2006. Quantitative Finance 6, 219-227]. We find that when the subordination results in a Lévy process, a necessary and sufficient condition for the symmetry to hold is that the drift must be equal to-1/2. Also, we derive explicit conditions to test whether the NIG, CGMY and Meixner processes are symmetric or not. Finally, we perform some tests with real financial data.

Keywords: Time-changed; Brownian; motion; Subordination; Symmetry (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544-6123(09)00058-0
Full text for ScienceDirect subscribers only

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:eee:finlet:v:7:y:2010:i:1:p:53-59

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().