Conventional time series analysis, focusing exclusively on a time series at a given scale, lacks the ability to explain the nature of the data generating process. A process equation that successfully explains daily price changes, for example, is unable to characterize the nature of hourly price...

While there is growing evidence that stock prices do not follow pure random walks, the degree of existence of temporary components in stock prices is not well known. Modelling stock prices as the sum of a random walk and a general stationary (predictable) component, we propose an estimable lower...

We calculate the correlation effects for the stock indices as an indicator. The change pattern is demonstrated. It is found that the chinese stock market is toward a less correlation system. It means chinese stock market is getting better

In order to invesitigate the effectiveness of chinese stock market, we take the real data from the market and calculate the seasonal pattern of the stock prices both for the indices and stock prices.We aslo analyze the size factors in the seasonal pattern. It is found chinese stock market is...

We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time modeling paradigm traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures and...

A rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high-frequency returns coupled with simple modeling procedures. Building on recent theoretical results in...

The 90's were marked by a high frequency of the financial crises in the developing countries. The crises had a virulent character and strong contagion effects upon other emergent economies and even upon advanced ones. In some of the cases, the crises appeared all of a sudden, affecting countries...

We study the random matrix technique for the financial data correlations. The usual correlation matrices are known to be noise dressed. We apply a new and alternative method to estimate the true correlations. To be more efficient in getting rid of the error due to the finite observations of the...

Markovian Projection is an optimal approximation of a complex underlying process with a simpler one, keeping essential properties of the initial process. The Heston process, as the Markovian Projection target, is an example.In this article, we generalize the results of Markovian Projection onto...

Several studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of traded options or piece-wise linear regressions. This paper provides a statistical methodology to unveil such non-linear...