11 citations · 28 across the 6 of their papers we have counts for
3 papers · 1 filter
A fractional generalized Cauchy process
Yusuke Uchiyama, Takanori Kadoya, Hidetoshi Konno
This paper presents a fractional generalized Cauchy process (FGCP) with an additive and a multiplicative Gaussian white noise for describing subordinated anomalous fluctuations. Th…
Complex Valued Risk Diversification
Yusuke Uchiyama, Takanori Kadoya, Kei Nakagawa
Risk diversification is one of the dominant concerns for portfolio managers. Various portfolio constructions have been proposed to minimize the risk of the portfolio under some con…
Superstatistics with cut-off tails for financial time series
Yusuke Uchiyama, Takanori Kadoya
Financial time series have been investigated to follow fat-tailed distributions. Further, an empirical probability distribution sometimes shows cut-off shapes on its tails. To desc…