NO FREE LUNCH
SEMINAR
seminari
di finanza quantitativa
ore 13.00
Scuola Normale
Superiore
Pisa
(Aula Bianchi)
Giacomo
BORMETTI
Scuola
Normale Superiore di Pisa
Terrà un seminario dal
titolo:
“Minimal model of financial stylized
facts”
Abstract:
In this seminar I will present joint work with D. Delpini from the University
of Pavia. We afford the statistical characterization of a linear Stochastic
Volatility Model featuring Inverse Gamma stationary distribution for the
instantaneous volatilitiy of financial returns. We detail the derivation of the
moments of the return distribution, revealing the role of the Inverse Gamma law
in the emergence of fat tails, and of the relevant correlation functions. We
also propose a systematic methodology for estimating the model parameters, and
we describe the empirical analysis of the Standard & Poor 500 index daily
returns, confirming the ability of the model to capture many of the established
stylized fact as well as the scaling properties of empirical distributions over
different time horizons.
Tutti gli
interessati sono invitati a partecipare. Durante il seminario saranno
distribuiti dei panini e delle bottigliette di acqua.
Classe
di Scienze