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.
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)doi:10.1007/s10479-019-03305-z
Publication dates
Online23 Jul 2019
Publication process dates
Accepted10 Jul 2019
Deposited29 Aug 2019
Accepted author manuscript
License
CC BY 4.0
File Access Level
Open
Permalink -

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

  • 2
    total views
  • 0
    total downloads
  • 0
    views this month
  • 0
    downloads this month

Related outputs

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.
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.
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.
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.
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).
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.