More stylized facts of financial markets: leverage effect and downside correlations

DOI10.1016/S0378-4371(01)00282-5zbMath0974.91020OpenAlexW2154414701MaRDI QIDQ5947865

Jean-Philippe Bouchaud, Marc Potters

Publication date: 23 October 2001

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(01)00282-5

zbMATH Keywords

stochastic processleverage correlationnon-Gaussian one-factor description

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Statistical methods; economic indices and measures (91B82)

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Optimal allocation of trend following strategies ⋮ Development of an agent-based speculation game for higher reproducibility of financial stylized facts ⋮ Market-making strategy with asymmetric information and regime-switching ⋮ Complexity Analysis and Systemic Risk in Finance: Some Methodological Issues ⋮ Following a trend with an exponential moving average: analytical results for a Gaussian model ⋮ Processes for stocks capturing their statistical properties from one day to one year ⋮ Random matrix application to correlations amongst the volatility of assets ⋮ The reactive volatility model ⋮ Detecting market crashes by analysing long-memory effects using high-frequency data

Cites Work

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• Correlation structure of extreme stock returns

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