SEMINARIO. Modelling and Forecasting the Kurtosis and Returns Distributions of Financial Markets: Irrational Fractional Brownian Motion Model Approach

Il Dipartimento di Economia e Diritto organizza mercoledì 9 maggio 2018 , ore 11:00-13:00 presso l'aula E di Piazza Strambi 1 / Macerata un seminario dal titolo "Modelling and Forecasting the Kurtosis and Returns Distributions of Financial Markets: Irrational Fractional Brownian Motion Model Approach"

Il seminario conferisce 0,3 CFU agli studenti del Dipartimento di Economia e Diritto

PROGRAMMA E 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 two-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.

INTRODUCE

ROY CERQUETI (Università di Macerata)

INTERVIENE

PROF. GURJEET DHESI (South Bank London University)