Superstatistics with cut-off tails for financial time series

Yusuke Uchiyama and Takanori Kadoya

Physica A: Statistical Mechanics and its Applications, 2019, vol. 526, issue C

Abstract: Financial time series have been investigated to follow fat-tailed distributions with truncations. In order to identify the nature of such fluctuations, we proposed a stochastic volatility model by incorporating the cut-off effect in superstatistics. Then we confirm that the proposed stochastic model is capable of describing the statistical properties of real financial time series. In addition, we present an option pricing formula with respect to superstatistics. A new type of anomalous fluctuations is also investigated based on the proposed stochastic model.

Keywords: Financial time series; Stochastic volatility model; Superstatistics; Option pricing; Brownian yet non-Gaussian diffusion (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:526:y:2019:i:c:s0378437119305345

DOI: 10.1016/j.physa.2019.04.166

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