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What distinguishes individual stocks from the index?
dc.contributor.author | Wagner, Friedrich | |
dc.contributor.author | Milakovic, Mishael | |
dc.contributor.author | Alfarano, Simone | |
dc.date.accessioned | 2012-11-12T19:17:38Z | |
dc.date.available | 2012-11-12T19:17:38Z | |
dc.date.issued | 2010 | |
dc.identifier.citation | The European Physical Journal B ( 2010), 73, 1, p 23-28 | ca_CA |
dc.identifier.issn | 1434-6028 | |
dc.identifier.uri | http://hdl.handle.net/10234/51761 | |
dc.description.abstract | Stochastic volatility models decompose the time series of financial returns into the product of a volatility factor and an iid noise factor. Assuming a slow dynamic for the volatility factor, we show via nonparametric tests that both the index as well as its individual stocks share a common volatility factor. While the noise component is Gaussian for the index, individual stock returns turn out to require a leptokurtic noise. Thus we propose a two-component model for stocks, given by the sum of Gaussian noise, which reflects market-wide fluctuations, and Laplacian noise, which incorporates firm-specific factors such as firm profitability or growth performance, both of which are known to be Laplacian distributed. In the case of purely Gaussian noise, the chi-squared probability for the density of individual stock returns is typically on the order of 10-20, while it increases to values of O(1) by adding the Laplace component. | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Springer-Verlag | ca_CA |
dc.rights | (c) EDP Sciences, Società Italiana di Fisica, Springer-Verlag 2009 | ca_CA |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | * |
dc.subject | Economics | ca_CA |
dc.subject | Probability theory | ca_CA |
dc.subject | Time series analysis | ca_CA |
dc.title | What distinguishes individual stocks from the index? | ca_CA |
dc.type | info:eu-repo/semantics/article | ca_CA |
dc.identifier.doi | http://dx.doi.org/10.1140/epjb/e2009-00358-1 | |
dc.rights.accessRights | info:eu-repo/semantics/restrictedAccess | ca_CA |
dc.relation.publisherVersion | http://link.springer.com/article/10.1140/epjb/e2009-00358-1 | ca_CA |
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