Levy models and long correlations applied to the study of exchange traded funds

被引：1

作者：

Mariani, M. C. ^{[1
]}

Libbin, J. D. ^{[1
]}

Martin, K. J. ^{[1
]}

Ncheuguim, E. ^{[1
]}

Varela, M. P. Beccar ^{[1
]}

Mani, V. Kumar ^{[1
]}

Erickson, C. A. ^{[1
]}

Valles-Rosales, D. J. ^{[1
]}

机构：

[1] New Mexico State Univ, Dept Math Sci, Las Cruces, NM 88003 USA

来源：

INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS | 2009年 / 86卷 / 06期

关键词：

Levy flight; exchange traded funds; long memory effects; NON-GAUSSIAN BEHAVIOR; TIME-SERIES; STOCHASTIC-PROCESS; FINANCIAL INDEXES; EMERGING MARKETS; DNA-SEQUENCES; ANTICORRELATIONS; FLUCTUATIONS; CONVERGENCE; HEARTBEAT;

D O I：

10.1080/00207160902763765

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This work is devoted to the study of statistical properties of Exchange Traded Funds (ETF). Some of the leading ETF in the market are analysed by using the Hurst and DFA methods to detect long range correlations, and the Levy models to describe the return distributions. It is concluded that the statistical behaviour of the ETF is very similar to the behaviour of the corresponding financial indices that they mimic.

引用

页码：1040 / 1053

页数：14

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