Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
| dc.creator | Silva, A. Christian | |
| dc.creator | Yakovenko, Victor M. | |
| dc.date | 2002-11-04 | |
| dc.date | 2002-11-05 | |
| dc.date.accessioned | 2026-07-07T02:48:03Z | |
| dc.date.available | 2026-07-07T02:48:03Z | |
| dc.description | We compare the probability distribution of returns for the three major stock-market indexes (Nasdaq, S&P500, and Dow-Jones) with an analytical formula recently derived by Dragulescu and Yakovenko for the Heston model with stochastic variance. For the period of 1982-1999, we find a very good agreement between the theory and the data for a wide range of time lags from 1 to 250 days. On the other hand, deviations start to appear when the data for 2000-2002 are included. We interpret this as a statistical evidence of the major change in the market from a positive growth rate in 1980s and 1990s to a negative rate in 2000s. | |
| dc.description | Elsevier style (enclosed), 7.5 pages, 7 figures with 14 eps files. Submitted to Physica A, Proceedings of International Econophysics Conference in Bali, 28-31 August 2002 | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0211050 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0211050 | |
| dc.identifier | Physica A 324, 303-310 (2003) | |
| dc.identifier | doi:10.1016/S0378-4371(02)01903-9 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/20250 | |
| dc.subject | Strongly Correlated Electrons | |
| dc.title | Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes | |
| dc.type | text |