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Keldysh Institute preprints, 2014, 096, 15 pages (Mi ipmp1948)  

This article is cited in 3 scientific papers (total in 3 papers)

On the distribution of absolute values of returns for financial time series

A. D. Bosov, Yu. N. Orlov, S. L. Fedorov


Abstract: For RTS index the filtration of enlargement type is carried out. The result of this filtration can be presented as composition of two series, one of which is stationary, but the second is non-stationary. The distribution function for time intervals between series of equal returns is constructed. This function has an exponential form. The dynamical system, generating the empirical distribution function between these series, is constructed.

Keywords: non-stationary time series, RTS index, self-consistent stationary level, non-stationary index, filtration.

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Document Type: Preprint

Citation: A. D. Bosov, Yu. N. Orlov, S. L. Fedorov, “On the distribution of absolute values of returns for financial time series”, Keldysh Institute preprints, 2014, 096, 15 pp.

Citation in format AMSBIB
\Bibitem{BosOrlFed14}
\by A.~D.~Bosov, Yu.~N.~Orlov, S.~L.~Fedorov
\paper On the distribution of absolute values of returns for financial time series
\jour Keldysh Institute preprints
\yr 2014
\papernumber 096
\totalpages 15
\mathnet{http://mi.mathnet.ru/ipmp1948}


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    Citing articles on Google Scholar: Russian citations, English citations
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    This publication is cited in the following articles:
    1. E. P. Kirina-Lilinskaya, Yu. N. Orlov, S. L. Fedorov, “Metod bazisnykh patternov v analize nestatsionarnykh vremennykh ryadov”, Preprinty IPM im. M. V. Keldysha, 2016, 007, 20 pp.  mathnet
    2. A. Yu. Ivchenko, Yu. N. Orlov, “Prakticheskie aspekty zadachi raspoznavaniya obrazov”, Preprinty IPM im. M. V. Keldysha, 2016, 017, 20 pp.  mathnet
    3. Yu. N. Orlov, R. V. Pleshakov, “Programmnyi kompleks dlya modelirovaniya nestatsionarnykh neekvidistantnykh vremennykh ryadov”, Preprinty IPM im. M. V. Keldysha, 2017, 036, 15 pp.  mathnet
  • Препринты Института прикладной математики им. М. В. Келдыша РАН
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