Σεμινάριο: "Time dependent return distributions, nonlinear Fokker-Planck dynamics and the Tsallis-entropy"

ΚΥΚΛΟΣ ΣΕΜΙΝΑΡΙΩΝ ΣΤΑΤΙΣΤΙΚΗΣ ΝΟΕΜΒΡΙΟΣ 2022

Ομιλητής: Bernhard Schipp, Technische Universität Dresden

Τίτλος: Time dependent return distributions, nonlinear Fokker-Planck dynamics and the Tsallis-entropy

ΠΕΡΙΛΗΨΗ:

This paper investigates the performance of the two-parameter Tsallis-distribution (generalized t-distribution for non-integer df) to model (market)-returns. In the framework of a stochastic volatility model with a background driving Lévy-process it can be shown, at first by simulation and secondly by an empirical application to Microsoft-returns, that the proposed modelling approach outperforms the classical one for almost arbitrary levels of temporal aggregation.

Αίθουσα 609, 6ος όροφος, Κτίριο Μεταπτυχιακών Ευελπίδων