A nested factor model for non-linear dependencies in stock returns

Model for non-Gaussian intraday stock returns.

Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price fluctuations (called intraday returns) and verify the model using a large database for several stocks traded on the London Stock Exchange. We provide evidence tha...

A Simple Non-Stationary Model for Stock Returns

Non-stationarities in Stock Returns

Modeling nancial returns on longer time intervals under the assumption of station-arity is, at least intuitively, given the pace of change in world's economy, a choice hard to defend. Relinquishing the global stationarity hypothesis, this paper conducts a data analysis focused on the size of the returns, i.e. the absolute values of returns, under the assumptions that, at least locally, the S&P ...

Non-Linear Relationships Among Oil Price, Gold Price and Stock Market Returns in Iran: A Multivariate Regime-Switching Approach

In this paper, the effects of oil and gold prices on stock market index are investigated. We use a cointegrated vector autoregressive Markov-switching model to examine the nonlinear properties of these three variables during the period of January 2003 - December 2014. The Markov-switching vector-equilibrium-correction model with three regimes representing "deep recession", "mild recession" and ...

A Multi-Time Scale Non-Gaussian Model of Stock Returns

We propose a stochastic process for stock movements that, with just one source of Brownian noise, has an instantaneous volatility that rises from a type of statistical feedback across many time scales. This results in a stationary non-Gaussian process which captures many features observed in time series of real stock returns. These include volatility clustering, a kurtosis which decreases slowl...