Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach

Journal article


Dhesi, G., Shakeel, B. and Ausloos, M. (2019). Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach. Annals of Operations Research. pp. 1-4. https://doi.org/10.1007/s10479-019-03305-z
AuthorsDhesi, G., Shakeel, B. and Ausloos, M.
Abstract

This paper reports a new methodology and results on the forecast of the numerical value of the fat tail(s) in asset returns distributions using the irrational fractional Brownian motion model. Optimal model parameter values are obtained from fits to consecutive daily 2-year period returns of S&P500 index over [1950–2016], generating 33-time series estimations. Through an econometric model, the kurtosis of returns distributions is modelled as a function of these parameters. Subsequently an auto-regressive analysis on these parameters advances the modelling and forecasting of kurtosis and returns distributions, providing the accurate shape of returns distributions and measurement of Value at Risk.

Year2019
JournalAnnals of Operations Research
Journal citationpp. 1-4
PublisherSpringer
ISSN0254-5330
Digital Object Identifier (DOI)https://doi.org/10.1007/s10479-019-03305-z
Publication dates
Online23 Jul 2019
Publication process dates
Accepted10 Jul 2019
Deposited29 Aug 2019
Accepted author manuscript
License
File Access Level
Open
Permalink -

https://openresearch.lsbu.ac.uk/item/87yyq

Download files


Accepted author manuscript
AOR2018submit.pdf
License: CC BY 4.0
File access level: Open

  • 121
    total views
  • 92
    total downloads
  • 3
    views this month
  • 2
    downloads this month

Export as

Related outputs

Markov Chain Monte Carlo for generating ranked textual data
Ficcadenti, V., Cerqueti, R., Dhesi, G. and Ausloos, M. (2022). Markov Chain Monte Carlo for generating ranked textual data. Information Sciences. 610, pp. 425-439. https://doi.org/10.1016/j.ins.2022.07.137
Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS
Dai, X., Xiao, L., Wang, Q. and Dhesi, G. (2021). Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS. Energy Policy. 156, p. 112428. https://doi.org/10.1016/j.enpol.2021.112428
Influence of blockchain adoption on technology transfer, performance and supply chain integration, exibility and responsiveness. A case study from IT&C medium size enterprises
Ceptureanu, S., Cerqueti, R., Alexandru, A., Popescu, D., Dhesi, G. and Ceptureanu, E. (2021). Influence of blockchain adoption on technology transfer, performance and supply chain integration, exibility and responsiveness. A case study from IT&C medium size enterprises. Studies in Informatics and Control. 30 (3), pp. 61-74. https://doi.org/10.24846/v30i3y202106
Does Death Anxiety Inhibit Product Innovation?An Exploratory Study In Small Manufacturing Companies
Cerqueti, R., Ceptureanu, S.I., Ceptureanu, E.G., Dhesi, G. and Luchian, I. (2021). Does Death Anxiety Inhibit Product Innovation?An Exploratory Study In Small Manufacturing Companies. Economic Computation and Economic Cybernetics Studies and Research. 55 (1/2021), pp. 135-147. https://doi.org/10.24818/18423264/55.1.21.09
Benford's laws tests on S&P500 daily closing values and the corresponding daily log-returns both point to huge non-conformity
Ausloos, M, Ficcadenti, V, Dhesi, G and Shakeel, M (2021). Benford's laws tests on S&P500 daily closing values and the corresponding daily log-returns both point to huge non-conformity. Physica A: Statistical Mechanics and its Applications. 574, pp. 125969-125969. https://doi.org/10.1016/j.physa.2021.125969
Stock Index Futures Trading Impact on Spot Price Volatility. The CSI 300 studied with a TGARCH model
Ausloos, M, Zhang, Y and Dhesi, G (2020). Stock Index Futures Trading Impact on Spot Price Volatility. The CSI 300 studied with a TGARCH model. Expert Systems with Applications. https://doi.org/10.1016/j.eswa.2020.113688
Words ranking and Hirsch index for identifying the core of the hapaxes in political texts
Ficcadenti, V., Cerqueti, R., Ausloos, M. and Dhesi, G. (2020). Words ranking and Hirsch index for identifying the core of the hapaxes in political texts. Journal of Informetrics. 14 (3), pp. 101054-101054. https://doi.org/10.1016/j.joi.2020.101054
Entropic Analysis of Votes Expressed in Italian Elections between 1948 and 2018
Marmani, S., Ficcadenti, V., Kaur, P. and Dhesi, G. (2020). Entropic Analysis of Votes Expressed in Italian Elections between 1948 and 2018. Entropy. 22 (5), pp. 523-523. https://doi.org/10.3390/e22050523
Analysis of Social Media Impact on Opportunity Recognition. A Social Networks and Entrepreneurial Alertness Mixed Approach
Ceptureanu, S., Ceptureanu, E., Cristescu, M. and Dhesi, G. (2020). Analysis of Social Media Impact on Opportunity Recognition. A Social Networks and Entrepreneurial Alertness Mixed Approach. Entropy: international and interdisciplinary journal of entropy and information studies. 22 (3). https://doi.org/10.3390/e22030343
Liquidity transmission and the subprime mortgage crisis: a multivariate GARCH approach
Xiao, L., Dhesi, G., Ceptureanu, E.G., Lin, K., Herteliu, C., Syed, B. and Ceptureanu, S.I. (2020). Liquidity transmission and the subprime mortgage crisis: a multivariate GARCH approach. Soft Computing. 10. https://doi.org/10.1007/s00500-020-04772-4
Money's Importance from the religious perspective
Dhesi, G., Herteliu, C., Jianu, I., Jianu, J., Bobb, V.C., Ceptureanu, S.I., Ceptureanu, E.G. and Ausloos, M. (2019). Money's Importance from the religious perspective. Annals of Operations Research. https://doi.org/10.1007/s10479-019-03488-5
Duration gap analysis revisited method in order to improve risk management: the case of Chinese commercial bank interest rate risks after interest rate liberalization
Dhesi, G., Ausloos, M., Ma, Q., Kaur, P. and Syed, B. (2019). Duration gap analysis revisited method in order to improve risk management: the case of Chinese commercial bank interest rate risks after interest rate liberalization. Soft Computing. https://doi.org/10.1007/s00500-019-04376-7
Evidence for Gross Domestic Product growth time delay dependence over Foreign Direct Investment. A time-lag dependent correlation study
Dhesi, G, Ausloos, M, Kaur, P and Eskandary, A (2019). Evidence for Gross Domestic Product growth time delay dependence over Foreign Direct Investment. A time-lag dependent correlation study. Physica A: Statistical Mechanics and its Applications. 527. https://doi.org/10.1016/j.physa.2019.121181
Non stationarity of high order return distribution moments and their Irrational fractional Brownian Motion modelling
Dhesi, G (2018). Non stationarity of high order return distribution moments and their Irrational fractional Brownian Motion modelling. EURO 2018. Valencia 08 - 11 Jul 2018
Comparative Causality Analyses between Hydrological Natural Inflow and Climate Variables in Brazil
Huang, X, Macaira, P, Hassani, H, Oliviera, F and Dhesi, G (2018). Comparative Causality Analyses between Hydrological Natural Inflow and Climate Variables in Brazil. Physica A: Statistical Mechanics and its Applications. 516, pp. 480-495. https://doi.org/10.1016/j.physa.2018.09.079
Decomposition of the Inequality of Income distribution by income types- Application for Romania
Andrei, T, Oancea, B, Richmond, P, Dhesi, G and Herteliu, C. (2017). Decomposition of the Inequality of Income distribution by income types- Application for Romania. Entropy. 19 (9), p. 430. https://doi.org/10.3390/e19090430
Modelling and measuring the irrational behaviour of agents in financial markets: Discovering the psychological soliton
Dhesi, G and Ausloos, M (2016). Modelling and measuring the irrational behaviour of agents in financial markets: Discovering the psychological soliton. Chaos, Solitons and Fractals. 88 (July), pp. 119-125. https://doi.org/10.1016/j.chaos.2015.12.015
Modified Brownian Motion Approach to Modelling Returns Distribution
Dhesi, G, Shakeel, MB and Xiao, L (2016). Modified Brownian Motion Approach to Modelling Returns Distribution. Wilmott. 82, pp. 74-77. https://doi.org/10.1002/wilm.10494
Finite size effects in the averaged eigenvalue density of Wigner random-sign real symmetric matrices
Dhesi, G and Ausloos, M (2016). Finite size effects in the averaged eigenvalue density of Wigner random-sign real symmetric matrices. Physical Review E - Statistical, Nonlinear, and Soft Matter Physics. 93 (6). https://doi.org/10.1103/PhysRevE.93.062115