Universal L\'evy's stable law of stock market and its characterization
Price fluctuations in financial markets can be characterized by L\'evy's stable distribution, which is supported by the generalized central limit system. When the stable parameters were estimated from four different stock markets in long term, they similarly indicated an unique value. On the other hand, when analyzed in short term, parameters and the stock prices fluctuated with correlation, which shows that the stock markets are instable.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Universal features of price formation in financial markets: perspectives from Deep Learning
Using a large-scale Deep Learning approach applied to a high-frequency database containing billions of electronic market quotes and transactions for US equities, we uncover nonparametric evidence for the existence of a u…
Time Series AnalysisThe geometry of relative arbitrage
Consider an equity market with $n$ stocks. The vector of proportions of the total market capitalizations that belong to each stock is called the market weight. The market weight defines the market portfolio which is a bu…
DiversityLearning Universal Multi-level Market Irrationality Factors to Improve Stock Return Forecasting
Recent years have witnessed the perfect encounter of deep learning and quantitative trading has achieved great success in stock investment. Numerous deep learning-based models have been developed for forecasting stock re…
Representation LearningNumeraire markets
In a stock market, the numeraire portfolio, if it exists, is the portfolio with the highest expected logarithmic growth rate at all times. A numeraire market is a stock market for which the market portfolio is the numera…
Can We Learn to Beat the Best Stock
A novel algorithm for actively trading stocks is presented. While traditional universal algorithms (and technical trading heuristics) attempt topredict winners or trends, our approach relies on predictable statistical r…