The S&P500 future index as a time changed Brownian motion

Remco T. Peters and Robin G. de Vilder

DELTA Working Papers from DELTA (Ecole normale supérieure)

Abstract: Large amounts of intraday observations of the S&P500 future stock index for the period 1988-2001 is investigated. It is shown that in financial time the hypothesis that the index is a standard Brownian motion cannot be rejected. It is also shown that the Brownian path in financial time and the volatility process in physical time are negatively correlated. Some of the practical consequences are elucidated.

Date: 2002
New Economics Papers: this item is included in nep-ets, nep-fmk and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:del:abcdef:2002-06

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