11 citations · 54 across the 10 of their papers we have counts for
4 papers · 1 filter
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…