Order Flow, Transaction Clock And Normality of Asset Returns  

Oleh:

Ane, Thierry ; Geman, Helyette

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 5 (2000), page 2259-2284.
Topik: transaction cost; studies; rates of return; assets; stochastic models; time; mathematical models
Fulltext: p 2259.pdf (385.46KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

The goal of this paper is to show that normality of asset returns can be recovered through a stochastic time change. Clark (1973) addressed this issue by representing the price process as a subordinated process with volume as the log normally distributed subordinator. We extend clark's results and find the following : i. stochastic time changes are mathematically much less constraining than subordinators ii. the cumulative number of trades is a better stochastic clock than the volume for generating virtually perfect normality in returns iii. this clock can be modeled non parametrically, allowing both the time - change and price processes to take the form of jump diffusions.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali