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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
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