The angular distribution of asset returns in delay space
Plotting asset returns against themselves with a one-period lag reveals the “compass rose” pattern of Crack and Ledoit (1996). They describe the pattern, caused by discreteness, as “subjective”. We develop a new and original set of “objective” statistical procedures to quantify the compass rose and...
| Published in: | Discrete Dynamics in Nature and Society |
|---|---|
| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2001-01-01
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| Subjects: | |
| Online Access: | http://dx.doi.org/10.1155/S1026022601000115 |
| _version_ | 1849869158848659456 |
|---|---|
| author | Roger Koppl Carlo Nardone |
| author_facet | Roger Koppl Carlo Nardone |
| author_sort | Roger Koppl |
| collection | DOAJ |
| container_title | Discrete Dynamics in Nature and Society |
| description | Plotting asset returns against themselves with a one-period lag reveals the “compass rose” pattern of Crack and Ledoit (1996). They describe the pattern, caused by discreteness, as “subjective”. We develop a new and original set of “objective” statistical procedures to quantify the compass rose and detect changes in it. empirical and bootstrapped “theta histograms” permits hypothesis testing. Simulations suggest that intertemporal statistical dependence skews the compass rose in ways that mimic ARCH phenomena. Using our techniques on “credit ruble” data, we test the hypothesis that “Big Players” influence the degree of this “X-skewing” and, therefore, apparent ARCH behavior. |
| format | Article |
| id | doaj-art-9eeaa54cb5fa4354b97b16fd73e71cfd |
| institution | Directory of Open Access Journals |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2001-01-01 |
| publisher | Wiley |
| record_format | Article |
| spelling | doaj-art-9eeaa54cb5fa4354b97b16fd73e71cfd2025-08-20T01:15:29ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2001-01-016210112010.1155/S1026022601000115The angular distribution of asset returns in delay spaceRoger Koppl0Carlo Nardone1Department of Economics and Finance, Fairleigh Dickinson University, Madison, NJ 07940, USASun Microsystems Italia SpA, via G. Romagnosi 4, Roma I-00196, ItalyPlotting asset returns against themselves with a one-period lag reveals the “compass rose” pattern of Crack and Ledoit (1996). They describe the pattern, caused by discreteness, as “subjective”. We develop a new and original set of “objective” statistical procedures to quantify the compass rose and detect changes in it. empirical and bootstrapped “theta histograms” permits hypothesis testing. Simulations suggest that intertemporal statistical dependence skews the compass rose in ways that mimic ARCH phenomena. Using our techniques on “credit ruble” data, we test the hypothesis that “Big Players” influence the degree of this “X-skewing” and, therefore, apparent ARCH behavior.http://dx.doi.org/10.1155/S1026022601000115Compass rose; Theta histograms; X-skewing; ARCH phenomena. |
| spellingShingle | Roger Koppl Carlo Nardone The angular distribution of asset returns in delay space Compass rose; Theta histograms; X-skewing; ARCH phenomena. |
| title | The angular distribution of asset returns in delay space |
| title_full | The angular distribution of asset returns in delay space |
| title_fullStr | The angular distribution of asset returns in delay space |
| title_full_unstemmed | The angular distribution of asset returns in delay space |
| title_short | The angular distribution of asset returns in delay space |
| title_sort | angular distribution of asset returns in delay space |
| topic | Compass rose; Theta histograms; X-skewing; ARCH phenomena. |
| url | http://dx.doi.org/10.1155/S1026022601000115 |
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