Scaling and multiscaling in financial series: a simple model

Alessandro Andreoli, Francesco Caravenna, Paolo Dai Pra and Gustavo Posta

Papers from arXiv.org

Abstract: We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a crossover in the log-return distribution from power-law tails (small time) to a Gaussian behavior (large time), slow decay in the volatility autocorrelation and multiscaling of moments. Despite its few parameters, the model is able to fit several key features of the time series of financial indexes, such as the Dow Jones Industrial Average, with a remarkable accuracy.

Date: 2010-06, Revised 2012-04
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1006.0155

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