157 citations · 332 across the 6 of their papers we have counts for
6 papers
Stochastic volatility of financial markets as the fluctuating rate of trading: an empirical study
A. Christian Silva, Victor M. Yakovenko
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic varia…
Virtual volatility
A. Christian Silva, Richard E. Prange
We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtu…
Applications of physics to finance and economics: returns, trading activity and income
A. Christian Silva
This dissertation reports work where physics methods are applied to financial and economical problems. The first part studies stock market data (chapter 1 to 5). The second part is…
Temporal evolution of the "thermal" and "superthermal" income classes in the USA during 1983-2001
A. Christian Silva, Victor M. Yakovenko
Personal income distribution in the USA has a well-defined two-class structure. The majority of population (97-99%) belongs to the lower class characterized by the exponential Bolt…
Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact
A. Christian Silva, Richard E. Prange, Victor M. Yakovenko
We study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. While at shorter microscopic time lags…
GRENOUILLE - Practical issues: a quick manual
A. Christian Silva
This paper is the result of setting up GRENOUILLE in the Nonlinear Dynamics Laboratory at the University of Maryland at College Park. With the experience acquired in the process of…