11 citations · 54 across the 10 of their papers we have counts for
10 papers
Are there Dragon Kings in the Stock Market?
Jiong Liu, M. Dashti Moghaddam, R. A. Serota
We undertake a systematic study of historic market volatility spanning roughly five preceding decades. We focus specifically on the time series of realized volatility (RV) of the S…
Distributions of Historic Market Data -- Relaxation and Correlations
M. Dashti Moghaddam, Zhiyuan Liu, R. A. Serota
We investigate relaxation and correlations in a class of mean-reverting models for stochastic variances. We derive closed-form expressions for the correlation functions and leverag…
Modeling Response Time Distributions with Generalized Beta Prime
M. Dashti Moghaddam, Jiong Liu, John G. Holden +1
We use Generalized Beta Prime distribution, also known as GB2, for fitting response time distributions. This distribution, characterized by one scale and three shape parameters, is…
Generalized Beta Prime Distribution: Stochastic Model of Economic Exchange and Properties of Inequality Indices
M. Dashti Moghaddam, Jeffrey Mills, R. A. Serota
We argue that a stochastic model of economic exchange, whose steady-state distribution is a Generalized Beta Prime (also known as GB2), and some unique properties of the latter, ar…
Implied and Realized Volatility: A Study of Distributions and the Distribution of Difference
M. Dashti Moghaddam, Jiong Liu, R. A. Serota
We study distributions of realized variance (squared realized volatility) and squared implied volatility, as represented by VIX and VXO indices. We find that Generalized Beta distr…
Implied and Realized Volatility: A Study of the Ratio Distribution
M. Dashti Moghaddam, R. A. Serota
We analyze correlations between squared volatility indices, VIX and VXO, and realized variances -- the known one, for the current month, and the predicted one, for the following mo…
Combined Mutiplicative-Heston Model for Stochastic Volatility
M. Dashti Moghaddam, R. A. Serota
We consider a model of stochastic volatility which combines features of the multiplicative model for large volatilities and of the Heston model for small volatilities. The steady-s…
Distributions of Historic Market Data -- Implied and Realized Volatility
M. Dashti Moghaddam, Zhiyuan Liu, R. A. Serota
We undertake a systematic comparison between implied volatility, as represented by VIX (new methodology) and VXO (old methodology), and realized volatility. We compare visually and…
Distributions of Historic Market Data - Stock Returns
Zhiyuan Liu, M. Dashti Moghaddam, R. A. Serota
We show that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-…
Modeling response time with power-law distributions
Z. Liu, O. Pavlov Garcia, J. G. Holden +1
Understanding the properties of response time distributions is a long-standing problem in cognitive science. We provide a tutorial overview of several contemporary models that assu…