Identification of Atlas models
Mathematical Finance
2015-02-18 v1 Probability
Abstract
Atlas models are systems of Ito processes with parameters that depend on rank. We show that the parameters of a simple Atlas model can be identified by measuring the variance of the top-ranked process for different sampling intervals.
Cite
@article{arxiv.1502.04909,
title = {Identification of Atlas models},
author = {Robert Fernholz},
journal= {arXiv preprint arXiv:1502.04909},
year = {2015}
}
Comments
4 pages, 1 figure