Perelló, Josep, 1974-Masoliver, Jaume, 1951-2011-07-072011-07-0720031063-651Xhttps://hdl.handle.net/2445/18870We 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.4 p.application/pdfeng(c) American Physical Society, 2003Mercat financerMoviment browniàFísica matemàticaFinancial marketBrownian movementsMathematical physicsinfo:eu-repo/semantics/article512332info:eu-repo/semantics/openAccess