342 citations · 587 across the 5 of their papers we have counts for
4 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…
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…
Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
A. Christian Silva, Victor M. Yakovenko
We compare the probability distribution of returns for the three major stock-market indexes (Nasdaq, S&P500, and Dow-Jones) with an analytical formula recently derived by Dragulesc…
Evidence for the exponential distribution of income in the USA
Adrian Dragulescu, Victor M. Yakovenko
Using tax and census data, we demonstrate that the distribution of individual income in the USA is exponential. Our calculated Lorenz curve without fitting parameters and Gini coef…