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Title: Intraday empirical analysis and modeling of diversified world stock indices
Authors : Breymann, Wolfgang
Kelly, Leah
Platen, Eckhard
Published in : Asia-Pacific Financial Markets
Volume(Issue) : 12
Issue : 1
Pages : 1
Pages to: 28
Publisher / Ed. Institution : Springer
Issue Date: 2006
License (according to publishing contract) : Licence according to publishing contract
Type of review: Peer review (Publication)
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 (
Departement: School of Engineering
Organisational Unit: Institute of Data Analysis and Process Design (IDP)
Publication type: Article in scientific Journal
DOI : 10.1007/s10690-006-9010-0
ISSN: 1387-2834
Appears in Collections:Publikationen School of Engineering

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