Superstatistics with cut-off tails for financial time series
Statistical Finance
2019-06-26 v1 Statistics Theory
Data Analysis, Statistics and Probability
Statistics Theory
Abstract
Financial time series have been investigated to follow fat-tailed distributions. Further, an empirical probability distribution sometimes shows cut-off shapes on its tails. To describe this stylized fact, we incorporate the cut-off effect in superstatistics. Then we confirm that the presented stochastic model is capable of describing the statistical properties of real financial time series. In addition, we present an option pricing formula with respect to superstatistics.
Cite
@article{arxiv.1809.04775,
title = {Superstatistics with cut-off tails for financial time series},
author = {Yusuke Uchiyama and Takanori Kadoya},
journal= {arXiv preprint arXiv:1809.04775},
year = {2019}
}