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The risk-neutral process is modeled by a four parameter self-similar process of independent increments with a self-decomposable law for its unit time distribution. Six different processes in this general class are theoretically formulated and empirically investigated. We show that all six models...
Persistent link: https://www.econbiz.de/10010905156
through the scaling of variance of the underlying processes. On the three most liquid US indices — DJI, NASDAQ and S&P500 — we …
Persistent link: https://www.econbiz.de/10011010862
In this paper we investigate scaling properties of risky asset returns and make a strong case (1) against the need for …-range dependent. These scaling properties are well known, although commonly ignored for modeling convenience. However, much more can … be inferred from the scaling properties of the returns. It turns out that the empirical scaling functions are initially …
Persistent link: https://www.econbiz.de/10010950160
mortality is significantly reduced, while the transmission appears to have increased strongly. Bioinformatic scaling had …
Persistent link: https://www.econbiz.de/10011209668
This paper introduces a new concept of least community that is as homogeneous as a random graph, and develops a new community detection algorithm from the perspective of homogeneity or heterogeneity. Based on this concept, we adopt head/tail breaks–a newly developed classification scheme for...
Persistent link: https://www.econbiz.de/10011209705
/P scaling). In the second part of the paper, it is shown that a linear supply function with stochastic intercept and … constant slope suffices to explain the 1/P scaling. Furthermore, this model allows to decompose price fluctuations in an …
Persistent link: https://www.econbiz.de/10005292633
Persistent link: https://www.econbiz.de/10005381839
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particular in terms of scaling distribution preservation. Identified distributions of all simulated processes are compared with …
Persistent link: https://www.econbiz.de/10005077018
We have analyzed the possibility of scaling the sexual Penna ageing model. Assuming that the number of genes expressed …
Persistent link: https://www.econbiz.de/10005080914