On collective non-gaussian dependence patterns in high frequency financial data

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dc.creatorLeonidov, Andrei
dc.creatorTrainin, Vladimir
dc.creatorZaitsev, Alexander
dc.date2005-06-08
dc.date2006-06-26
dc.date.accessioned2026-07-07T12:07:34Z
dc.date.available2026-07-07T12:07:34Z
dc.descriptionThe analysis of observed conditional distributions of both lagged and simultaneous intraday price increments of a basket of stocks reveals phenomena of dependence - induced volatility smile and kurtosis reduction. A model based on multivariate t-Student distribution shows that the observed effects are caused by colelctive non-gaussian dependence properties of financial time series.
dc.descriptionmisprints corrected
dc.identifierhttps://arxiv.org/abs/physics/0506072
dc.identifierhttp://arxiv.org/abs/physics/0506072
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209014
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleOn collective non-gaussian dependence patterns in high frequency financial data
dc.typetext

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