کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5085185 1477947 2008 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Empirically based modeling in financial economics and beyond, and spurious stylized facts
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Empirically based modeling in financial economics and beyond, and spurious stylized facts
چکیده انگلیسی
The discovery of the dynamics of a time series requires construction of the transition density. We explain why 1-point densities and scaling exponents cannot determine the class of stochastic dynamics. Time series require some sort of underlying statistical regularity to provide a basis for analysis, and we construct an exhaustive list of such tests. The condition for stationary increments, not scaling, determines the existence of long time pair autocorrelations. We conjecture that for a selfsimilar process neither the pair correlations 〈x(t)x(s)〉 nor the 2-point density scales in both times t and s except in a pathological case, and give examples using three well-known Gaussian processes. An incorrect assumption of stationary increments can generate spurious stylized facts, including fat tails. When a sliding window is applied to nonstationary, uncorrelated increments then a Hurst exponent Hs = 1 / 2 is generated by that procedure even if the underlying model scales with a Hurst exponent H ≠ 1/2. We explain how this occurs dynamically. The nonstationarity arises from systematic unevenness in the traders' behavior in real time. Spurious stylized facts arise mathematically from using a log increment with a 'sliding window' to read the series. In addition, we show that nonstationary processes are generally not globally transformable to stationary ones. We also present a more detailed explanation of our recent FX data analysis and modeling.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 17, Issue 5, December 2008, Pages 767-783
نویسندگان
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