CED model for asset returns and fractal market hypothesis

被引：24

作者：

Rachev, ST ^{[1
]}

Weron, A

Weron, R

机构：

[1] Univ Calif Santa Barbara, Dept Stat & Appl Probabil, Santa Barbara, CA 93106 USA

[2] Wroclaw Univ Technol, Hugo Steinhaus Ctr Stochast Methods, Math Inst, PL-50370 Wroclaw, Poland

来源：

MATHEMATICAL AND COMPUTER MODELLING | 1999年 / 29卷 / 10-12期

关键词：

financial modeling; asset returns; fractal market hypothesis; arbitrage; Weibull distribution; CED model; two-parameter Pareto distributions;

D O I：

10.1016/S0895-7177(99)00090-4

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

A new general model for asset returns is studied in the framework of the Fractal Market Hypothesis (FMH). To accommodate markets with arbitrage opportunities, it concerns capital market systems in which the Conditionally Exponential Dependence (CED) property can be attached to each investor on the market. Employing the limit theorem for the CED systems, the universal characteristics for the distribution of asset returns are derived. This explains the special role of the Weibull distribution in modeling of global asset returns for market with no arbitrage and the two-power laws property of the density of global returns, evident in the empirical data. Finally, the link with two-parameter Pareto distributions is established. (C) 1999 Elsevier Science Ltd. All rights reserved.

引用

页码：23 / 36

页数：14

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