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Title: Random diffusion and leverage effect in financial markets
Author: Perelló, Josep, 1974-
Masoliver, Jaume, 1951-
Keywords: Mercat financer
Moviment brownià
Física matemàtica
Financial market
Brownian movements
Mathematical physics
Issue Date: 2003
Publisher: The American Physical Society
Abstract: 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.
Note: Reproducció del document publicat a:
It is part of: Physical Review E, 2003, vol. 67, núm. 3, p. 037102-1-037102-4
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ISSN: 1063-651X
Appears in Collections:Articles publicats en revistes (Física de la Matèria Condensada)

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