6 citations · 6 across the 1 of their papers we have counts for
4 papers
Probability of Large Movements in Financial Markets
Robert Kitt, Maksim Sakki, Jaan Kalda
Based on empirical financial time-series, we show that the "silence-breaking" probability follows a super-universal power law: the probability of observing a large movement is inve…
Leptokurtic Portfolio Theory
Robert Kitt, Jaan Kalda
The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outline…
Scaling analysis of multivariate intermittent time series
Robert Kitt, Jaan Kalda
The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data…
Properties of low variability periods in financial time series
R. Kitt, J. Kalda
Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability period…