Scaling issues for risky asset modelling

DOI10.1007/S00186-008-0253-6zbMath1166.91016OpenAlexW2012462676MaRDI QIDQ1028545

Christopher C. Heyde

Publication date: 6 July 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-008-0253-6

zbMATH Keywords

heavy-tailed distributionsscalingfractal markets

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (8)

Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions ⋮ Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data ⋮ Detecting multifractal stochastic processes under heavy-tailed effects ⋮ Obituary: Christopher Charles Heyde AM, DSc, FAA, FASSA ⋮ A normal inverse Gaussian model for a risky asset with dependence ⋮ Apparent multifractality of self-similar Lévy processes ⋮ Risky Asset Models with Tempered Stable Fractal Activity Time ⋮ Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters

Cites Work

• On the controversy over tailweight of distributions.
• On modes of long-range dependence
• A risky asset model with strong dependence through fractal activity time
• Student processes
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