2 papers
q-fin.ST2025
Broken Symmetry of Stock Returns -- a Modified Jones-Faddy Skew t-Distribution
Siqi Shao, Arshia Ghasemi, Hamed Farahani +1
We argue that negative skew and positive mean of the distribution of stock returns are largely due to the broken symmetry of stochastic volatility governing gains and losses. Start…
q-fin.ST2025
Asymmetry in Distributions of Accumulated Gains and Losses in Stock Returns
Hamed Farahani, R. A. Serota
We study decades-long historic distributions of accumulated S\&P500 returns, from daily returns to those over several weeks. The time series of the returns emphasize major upheaval…