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Superstatistics with cut-off tails for financial time series

Author

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  • Uchiyama, Yusuke
  • Kadoya, Takanori

Abstract

Financial time series have been investigated to follow fat-tailed distributions with truncations. In order to identify the nature of such fluctuations, we proposed a stochastic volatility model by incorporating the cut-off effect in superstatistics. Then we confirm that the proposed 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. A new type of anomalous fluctuations is also investigated based on the proposed stochastic model.

Suggested Citation

  • Uchiyama, Yusuke & Kadoya, Takanori, 2019. "Superstatistics with cut-off tails for financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 526(C).
    • Handle: RePEc:eee:phsmap:v:526:y:2019:i:c:s0378437119305345
    DOI: 10.1016/j.physa.2019.04.166
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    Cited by:

    1. Fabio Vanni & David Lambert, 2024. "Aging Renewal Point Processes and Exchangeability of Event Times," Mathematics, MDPI, vol. 12(10), pages 1-27, May.

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