Dynamics of observables in rank-based models and performance of functionally generated portfolios
Sergio A. Almada Monter,
Mykhaylo Shkolnikov and
Papers from arXiv.org
In the seminal work , several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment decisions, a concise mathematical description of their dynamics has been missing. We fill this gap in the setting of rank-based models and expect our ideas to extend to other models of large financial markets as well. The results are then used to study the performance of multiplicatively and additively functionally generated portfolios, in particular, over short-term and medium-term horizons.
New Economics Papers: this item is included in nep-exp
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1802.03593 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1802.03593
Access Statistics for this paper
More papers in Papers from arXiv.org
Series data maintained by arXiv administrators ().