Seminar: "Time dependent return distributions, nonlinear Fokker-Planck dynamics and the Tsallis-entropy"
AUEB STATISTICS SEMINAR SERIES NOVEMBER 2022
Bernhard Schipp, Technische Universität Dresden
Title: Time dependent return distributions, nonlinear Fokker-Planck dynamics and the Tsallis-entropy
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.
Room 609, 6th floor, Postagraduate Building, Evelpidon str.