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On the non-stationarity of financial time series: Impact on optimal portfolio selection
We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provide empirical evidence ...
On the convergence of quadratic variation for compound fractional poisson processes
The relationship between quadratic variation for compound renewal processes and M-Wright functions is discussed. The convergence of quadratic variation is investigated both as a random variable (for given t) and as a ...
Statistical analysis and agent-based microstructure modeling of high-frequency financial trading
A simulation of high-frequency market data is performed with the Genoa Artificial Stock Market. Heterogeneous agents trade a risky asset in exchange for cash. Agents have zero intelligence and issue random limit or market ...