Title:
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Random diffusion and leverage effect in financial markets
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Author:
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Perelló, Josep, 1974-; Masoliver, Jaume, 1951-
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Other authors:
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Universitat de Barcelona |
Abstract:
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We prove that Brownian market models with random diffusion coefficients provide an exact measure of the leverage effect [J-P. Bouchaud et al., Phys. Rev. Lett. 87, 228701 (2001)]. This empirical fact asserts that past returns are anticorrelated with future diffusion coefficient. Several models with random diffusion have been suggested but without a quantitative study of the leverage effect. Our analysis lets us to fully estimate all parameters involved and allows a deeper study of correlated random diffusion models that may have practical implications for many aspects of financial markets. |
Subject(s):
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-Mercat financer -Moviment brownià -Física matemàtica -Financial market -Brownian movements -Mathematical physics |
Rights:
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(c) American Physical Society, 2003
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Document type:
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Article Article - Published version |
Published by:
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The American Physical Society
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