About: Modelling financial returns by discrete stable distributions

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Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://mme2012.opf.slu.cz/proceedings/pdf/138_Slamova.pdf
Description	This paper develops a new approach to modeling financial returns by introducing discrete stable distributions. It is well known that the financial returns are not normally distributed, extremal events occur more often than the Gaussian distribution suggests. Already in the sixties Benoit Mandelbrot suggested a hypothesis that returns follow a stable Paretian law. Inspired by the discrete nature of prices appearing on the markets we model the financial returns by discrete analogues of absolutely continuous stable distributions. The known discrete stability of random variables on N is generalized to the case of random variables on Z. We give brief introduction to the theory of discrete stability on Z, show connection of discrete stable random variables to their absolutely continuous counterparts and focus mainly on methods of estimation of parameters of these distributions from the real data of financial returns. This paper develops a new approach to modeling financial returns by introducing discrete stable distributions. It is well known that the financial returns are not normally distributed, extremal events occur more often than the Gaussian distribution suggests. Already in the sixties Benoit Mandelbrot suggested a hypothesis that returns follow a stable Paretian law. Inspired by the discrete nature of prices appearing on the markets we model the financial returns by discrete analogues of absolutely continuous stable distributions. The known discrete stability of random variables on N is generalized to the case of random variables on Z. We give brief introduction to the theory of discrete stability on Z, show connection of discrete stable random variables to their absolutely continuous counterparts and focus mainly on methods of estimation of parameters of these distributions from the real data of financial returns. (en)
Title	Modelling financial returns by discrete stable distributions Modelling financial returns by discrete stable distributions (en)
skos:prefLabel	Modelling financial returns by discrete stable distributions Modelling financial returns by discrete stable distributions (en)
skos:notation	RIV/00216208:11320/12:10128603!RIV13-GA0-11320___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GAP203/12/0665), P(GBP402/12/G097)
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Klebanov, Lev Slámová, Lenka
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Matematicko-fyzikální fakulta
http://linked.open...dnocenehoVysledku	151090
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/12:10128603
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	M-estimator; parameter estimation; discrete stable distributions (en)
http://linked.open.../riv/klicoveSlovo	parameter estimation M-estimator discrete stable distributions
http://linked.open...ontrolniKodProRIV	[84B972A1B40A]
http://linked.open...v/mistoKonaniAkce	Karviná
http://linked.open...i/riv/mistoVydani	Karviná
http://linked.open...i/riv/nazevZdroje	Proceedings of 30th International Conference Mathematical Methods in Economics
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	DYME-Dynamic Models in Economics Molecular resonances and their dynamics
http://linked.open...UplatneniVysledku	2012
http://linked.open...iv/tvurceVysledku	Klebanov, Lev Slámová, Lenka
http://linked.open...vavai/riv/typAkce	CST - Celostátní
http://linked.open.../riv/zahajeniAkce	2012-09-11 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Silesian University in Opava, School of Business Administration
https://schema.org/isbn	978-80-7248-779-0
http://localhost/t...ganizacniJednotka	11320

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