EconPapers    
Economics at your fingertips  
 

Weighted-indexed semi-Markov models for modeling financial returns

Guglielmo D'Amico and Filippo Petroni ()

Papers from arXiv.org

Abstract: In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted indexed semi-Markov chain model. We show, through Monte Carlo simulations, that the model is able to reproduce important stylized facts of financial time series as the first passage time distributions and the persistence of volatility. The model is applied to data from Italian and German stock market from first of January 2007 until end of December 2010.

Date: 2012-05, Revised 2012-06
New Economics Papers: this item is included in nep-cmp, nep-ecm, nep-ets and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18) Track citations by RSS feed

Published in J. Stat. Mech., P07015, 2012

Downloads: (external link)
http://arxiv.org/pdf/1205.2551 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:1205.2551

Access Statistics for this paper

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

 
Page updated 2023-09-20
Handle: RePEc:arx:papers:1205.2551