Email this article Statistical Decomposition of Volatility
- Authors: Korolev V.1,2
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Affiliations:
- Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics
- Institute of Informatics Problems of FRC IC RAS
- Issue: Vol 221, No 4 (2017)
- Pages: 530-552
- Section: Article
- URL: https://journals.rcsi.science/1072-3374/article/view/239041
- DOI: https://doi.org/10.1007/s10958-017-3248-0
- ID: 239041
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Abstract
In this paper we propose a new approach to evaluating and analyzing the volatility of financial indices, in particular, stock prices. This approach is based on a multidimensional interpretation of the volatility of one-dimensional processes. The foundation of this approach is a model based on the limit theorems for compound doubly stochastic Poisson processes, in which the distributions of the increments of financial index logarithms are represented in the form of mixtures of normal laws.
About the authors
V.Yu. Korolev
Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics; Institute of Informatics Problems of FRC IC RAS
Author for correspondence.
Email: vkorolev@cs.msu.su
Russian Federation, Moscow; Moscow
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