Asymmetries in financial returns
2017 ◽
Vol 04
(04)
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pp. 1750045
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Market clichés assert that markets take escalators up and elevators down. The observation suggests differentiating models for up and down moves. Non-diffusive models allow for this and we model the move as the difference of two independent mean reverting increasing processes driven by gamma process shocks. The model is estimated on time series data as well as option data. Broadly speaking, the rise occurs with more frequent and smaller jumps with a faster rate of convergence to equilibrium. The down tick process has larger, less frequent moves with longer memories. Applications to delta hedging and the setting of profit targets and stop losses are also presented.
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2018 ◽
Vol 14
(1)
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pp. 176
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Keyword(s):
2021 ◽
Vol 6
(2)
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pp. 90-97
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2019 ◽
Vol 8
(10)
◽
pp. 966-970
Keyword(s):
2017 ◽
Vol 1
(2)
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pp. 177-191
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2016 ◽
Vol 136
(3)
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pp. 363-372