Home
Portal
Grstats
Latest images
Register
Log in
nora- Posts : 2
Join date : 2022-11-05
AUEB Stats Seminars 25/11/2022: Time dependent return distributions, nonlinear Fokker-Planck dynamics and the Tsallis-entropy
Tue 22 Nov 2022 - 19:54
Presenter: Bernhard Schipp, Technische Universität Dresden
Friday 25/11/2022, 11:15
Room 609, 6th floor, Postagraduate Building, Evelpidon str.
Title: Time dependent return distributions, nonlinear Fokker-Planck dynamics and the Tsallis-entropy
Abstract: This paper investigates the performance of the two-parameter Tsallis-distribution (generalized t-distribution for non-integer df) to model (market)-returns. In the framework of a stochastic volatility model with a background driving Lévy-process it can be shown, at first by simulation and secondly by an empirical application to Microsoft-returns, that the proposed modelling approach outperforms the classical one for almost arbitrary levels of temporal aggregation.
https://www.facebook.com/events/813501756577714/?ref=newsfeed
Friday 25/11/2022, 11:15
Room 609, 6th floor, Postagraduate Building, Evelpidon str.
Title: Time dependent return distributions, nonlinear Fokker-Planck dynamics and the Tsallis-entropy
Abstract: This paper investigates the performance of the two-parameter Tsallis-distribution (generalized t-distribution for non-integer df) to model (market)-returns. In the framework of a stochastic volatility model with a background driving Lévy-process it can be shown, at first by simulation and secondly by an empirical application to Microsoft-returns, that the proposed modelling approach outperforms the classical one for almost arbitrary levels of temporal aggregation.
https://www.facebook.com/events/813501756577714/?ref=newsfeed
- AUEB SEMINARS: Modelling the time delay in Critical Illness Insurance using GB2 family of distributions
- AUEB Stats Seminars 14/12/2022: A new non-parametric Cross-Spectrum Estimator by Evanggelos Ioannidis (Department of Statistics, AUEB)
- AUEB Stats Seminars 4/3/2021: Practical Distributionally Robust Markov Decision Processes using Relative Entropy by William Greenall (UCL)
- AUEB Stats Seminars 28/4/2023: The dynamics of AI by Panayotis Mertikopoulos (Department of Mathematics, National and Kapodistrian University of Athens)
- AUEB Stats Seminars 2/11/2022: Non-linear Network Autoregression by K. Fokianos (University of Cyprus)
Permissions in this forum:
You cannot reply to topics in this forum|
|
|