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Hurst exponents, Markov processes, and fractional Brownian motion

McCauley, Joseph L.; Gunaratne, Gemunu H.; Bassler, Kevin E. - Volkswirtschaftliche Fakultät, … - 2006

There is much confusion in the literature over Hurst exponents. Recently, we took a step in the direction of eliminating some of the confusion. One purpose of this paper is to illustrate the difference between fBm on the one hand and Gaussian Markov processes where H≠1/2 on the other. The...

Persistent link: https://www.econbiz.de/10005835781

An empirical model of volatility of returns and option pricing

McCauley, Joseph L.; Gunaratne, Gemunu H. - Volkswirtschaftliche Fakultät, … - 2003

This paper reports several entirely new results on financial market dynamics and option pricing We observe that empirical distributions of returns are much better approximated by an exponential distribution than by a Gaussian. This exponential distribution of asset prices can be used to develop...

Persistent link: https://www.econbiz.de/10005836619

The Levy sections theorem revisited

Figueiredo, Annibal; Gleria, Iram; Matsushita, Raul; Da … - Volkswirtschaftliche Fakultät, … - 2006

This paper revisits the Levy sections theorem. We extend the scope of the theorem to time series and apply it to historical daily returns of selected dollar exchange rates. The elevated kurtosis usually observed in such series is then explained by their volatility patterns. And the duration of...

Persistent link: https://www.econbiz.de/10005836664

Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets

Bassler, Kevin E.; McCauley, Joseph L.; Gunaratne, Gemunu H. - Volkswirtschaftliche Fakultät, … - 2006

Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the distribution of fluctuations in returns. Empirical studies...

Persistent link: https://www.econbiz.de/10005617008

Characteristic function approach to the sum of stochastic variables

Figueiredo, Annibal; Gleria, Iram; Matsushita, Raul; Da … - Volkswirtschaftliche Fakultät, … - 2006

This paper puts forward a technique based on the characteristic function to tackle the problem of the sum of stochastic variables. We consider independent processes whose reduced variables are identically distributed, including those that violate the conditions for the central limit theorem to...

Persistent link: https://www.econbiz.de/10005621807

Hurst exponents, Markov processes, and nonlinear diffusion equations

Bassler, Kevin E.; Gunaratne, Gemunu H.; McCauley, Joseph L. - Volkswirtschaftliche Fakultät, … - 2005

We show by explicit closed form calculations that a Hurst exponent H≠1/2 does not necessarily imply long time correlations like those found in fractional Brownian motion. We construct a large set of scaling solutions of Fokker-Planck partial differential equations where H≠1/2. Thus Markov...

Persistent link: https://www.econbiz.de/10005837307

Risk Seekers May Be Antisocial After All

Da Silva, Sergio - Volkswirtschaftliche Fakultät, … - 2014

(psychopathy, Machiavellianism and nihilism). The students also responded to questionnaires to assess their attitudes toward risk … psychopathic, Machiavellian and nihilistic traits in the sample, and also that risk seekers were antisocial. Additionally, we found … who were anxious tend to be nihilists. Moreover, boys born from younger mothers were more risk seeking than girls born …

Persistent link: https://www.econbiz.de/10011109914

Risk-seeking behavior of preschool children in a gambling task

Moreira, Bruno; Matsushita, Raul; Da Silva, Sergio - Volkswirtschaftliche Fakultät, … - 2008

similar experiment with preschool children to assess their attitudes toward risk and found the children, like the monkeys, to … be risk seeking. This suggests that adult humans are not born risk averse, but become risk averse. Our experiment also … that though emotional states and predetermined prenatal testosterone can influence children’s preferences toward risk …

Persistent link: https://www.econbiz.de/10005025703