Multiscaling of moments in stochastic volatility models

Orateur: Paolo PIGATO
Type: Séminaire des doctorants
Site: UPEC
Salle: CC P4 P06 (ex P4 - 0042)
Date de début: 26/03/2014 - 15:00
Date de fin: 26/03/2014 - 15:00

We introduce a class of stochastic volatility models for which the absolute moments of the increments exhibit anomalous scaling. This multi-scaling phenomenon is systematically observed in time series of nancial assets.