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http://hdl.handle.net/2445/18870
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DC Field | Value | Language |
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dc.contributor.author | Perelló, Josep, 1974- | cat |
dc.contributor.author | Masoliver, Jaume, 1951- | cat |
dc.date.accessioned | 2011-07-07T12:54:23Z | - |
dc.date.available | 2011-07-07T12:54:23Z | - |
dc.date.issued | 2003 | - |
dc.identifier.issn | 1063-651X | - |
dc.identifier.uri | http://hdl.handle.net/2445/18870 | - |
dc.description.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. | eng |
dc.format.extent | 4 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | eng |
dc.publisher | The American Physical Society | eng |
dc.relation.isformatof | Reproducció del document publicat a: http://dx.doi.org/10.1103/PhysRevE.67.037102 | cat |
dc.relation.ispartof | Physical Review E, 2003, vol. 67, núm. 3, p. 037102-1-037102-4 | - |
dc.relation.uri | http://dx.doi.org/10.1103/PhysRevE.67.037102 | - |
dc.rights | (c) American Physical Society, 2003 | - |
dc.source | Articles publicats en revistes (Física de la Matèria Condensada) | - |
dc.subject.classification | Mercat financer | cat |
dc.subject.classification | Moviment brownià | cat |
dc.subject.classification | Física matemàtica | cat |
dc.subject.other | Financial market | eng |
dc.subject.other | Brownian movements | eng |
dc.subject.other | Mathematical physics | eng |
dc.title | Random diffusion and leverage effect in financial markets | eng |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.idgrec | 512332 | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Física de la Matèria Condensada) |
Files in This Item:
File | Description | Size | Format | |
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512332.pdf | 64.61 kB | Adobe PDF | View/Open |
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