Browsing by Author "Hsieh, Fushing"

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Invariance in the recurrence of large returns and the validation of models of price dynamics
(2013-08-09)
Chang, Lo-Bin
;
Geman, Stuart
;
Hsieh, Fushing
;
Hwang, Chii-Ruey
;
應用數學系
Starting from a robust, nonparametric definition of large returns ("excursions"), we study the statistics of their occurrences, focusing on the recurrence process. The empirical waiting-time distribution between excursions is remarkably invariant to year, stock, and scale (return interval). This invariance is related to self-similarity of the marginal distributions of returns, but the excursion waiting-time distribution is a function of the entire return process and not just its univariate probabilities. Generalized autoregressive conditional heteroskedasticity (GARCH) models, market-time transformations based on volume or trades, and generalized (Levy) random-walk models all fail to fit the statistical structure of excursions.