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https://doi.org/10.21256/zhaw-4207| Publication type: | Article in scientific journal |
| Type of review: | Peer review (publication) |
| Title: | Intraday empirical analysis and modeling of diversified world stock indices |
| Authors: | Breymann, Wolfgang Kelly, Leah Platen, Eckhard |
| DOI: | 10.21256/zhaw-4207 10.1007/s10690-006-9010-0 |
| Published in: | Asia-Pacific Financial Markets |
| Volume(Issue): | 12 |
| Issue: | 1 |
| Page(s): | 1 |
| Pages to: | 28 |
| Issue Date: | 2006 |
| Publisher / Ed. Institution: | Springer |
| ISSN: | 1387-2834 1573-6946 |
| Language: | English |
| Subjects: | World stock index; Intraday analysis; Growth optimal portfolio; Diversified portfolio; Market activity; Deseasonalization; Square root process |
| Subject (DDC): | 332: Financial economics |
| Abstract: | This paper proposes an approach to the intraday analysis of diversified world stock accumulation indices. The growth optimal portfolio (GOP) is used as reference unit or benchmark in a continuous financial market model. Diversified portfolios, covering the world stock market, are constructed and shown to approximate the GOP, providing the basis for a range of financial applications. The normalized GOP is modeled as a time transformed square root process of dimension four. Its dynamics are empirically verified for several world stock indices. Furthermore, the evolution of the transformed time is modeled as the integral over a rapidly evolving mean-reverting market activity process with deterministic volatility. The empirical findings suggest a rather simple and robust model for a world stock index that reflects the historical evolution, by using only a few readily observable parameters. |
| Further description: | Erworben im Rahmen der Schweizer Nationallizenzen (http://www.nationallizenzen.ch) |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/4658 |
| Fulltext version: | Published version |
| License (according to publishing contract): | Licence according to publishing contract |
| Departement: | School of Engineering |
| Organisational Unit: | Institute of Data Analysis and Process Design (IDP) |
| Appears in collections: | Publikationen School of Engineering |
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| 2006_Breymann_Intraday empirical analysis_Asia-Pacific Financial Markets.pdf | 902.65 kB | Adobe PDF |  View/Open |
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Breymann, W., Kelly, L., & Platen, E. (2006). Intraday empirical analysis and modeling of diversified world stock indices. Asia-Pacific Financial Markets, 12(1), 1–28. https://doi.org/10.21256/zhaw-4207
Breymann, W., Kelly, L. and Platen, E. (2006) ‘Intraday empirical analysis and modeling of diversified world stock indices’, Asia-Pacific Financial Markets, 12(1), pp. 1–28. Available at: https://doi.org/10.21256/zhaw-4207.
W. Breymann, L. Kelly, and E. Platen, “Intraday empirical analysis and modeling of diversified world stock indices,” Asia-Pacific Financial Markets, vol. 12, no. 1, pp. 1–28, 2006, doi: 10.21256/zhaw-4207.
BREYMANN, Wolfgang, Leah KELLY und Eckhard PLATEN, 2006. Intraday empirical analysis and modeling of diversified world stock indices. Asia-Pacific Financial Markets. 2006. Bd. 12, Nr. 1, S. 1–28. DOI 10.21256/zhaw-4207
Breymann, Wolfgang, Leah Kelly, and Eckhard Platen. 2006. “Intraday Empirical Analysis and Modeling of Diversified World Stock Indices.” Asia-Pacific Financial Markets 12 (1): 1–28. https://doi.org/10.21256/zhaw-4207.
Breymann, Wolfgang, et al. “Intraday Empirical Analysis and Modeling of Diversified World Stock Indices.” Asia-Pacific Financial Markets, vol. 12, no. 1, 2006, pp. 1–28, https://doi.org/10.21256/zhaw-4207.
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