4 papers
Fitting Accumulated Stock Returns with Tempered Skew t-Distribution
Siqi Shao, R. A. Serota
We analyze distributions of historic S&P500 multi-day returns, for the number of days of accumulation from 20 to 120. With the increase of the number of days of accumulation, we ob…
Broken Symmetry, Conservation Law, and Scaling in Accumulated Stock Returns -- a Modified Jones-Faddy Skew t-Distribution Perspective
Arshia Ghasemi, Siqi Shao, R. A. Serota
We analyze historic S&P500 multi-day returns: from daily returns to those accumulated over up to ten days. Despite symmetry breaking between gains and losses in the distribution of…
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…
Dynamic-RKKY induced time-reversal symmetry breaking and chiral spin liquids
Siqi Shao, Yang Ge, Yashar Komijani
We study the Ruderman-Kittel-Kasuya-Yosida (RKKY) interaction in various Kondo lattice systems. We argue that the weak Kondo-coupling expansion contains certain physics which is lo…