247 citations · 1.2k across the 33 of their papers we have counts for
6 papers · 1 filter
Activity autocorrelation in financial markets. A comparative study between several models
Luigi Palatella, Josep Perello, Miquel Montero +1
We study the activity, i.e., the number of transactions per unit time, of financial markets. Using the diffusion entropy technique we show that the autocorrelation of the activity…
A comparison between several correlated stochastic volatility models
Josep Perello, Jaume Masoliver, Napoleon Anento
We compare the most common SV models such as the Ornstein-Uhlenbeck (OU), the Heston and the exponential OU (expOU) models. We try to decide which is the most appropriate one by st…
The CTRW in finance: Direct and inverse problems with some generalizations and extensions
Jaume Masoliver, Miquel Montero, Josep Perello +1
We study financial distributions within the framework of the continuous time random walk (CTRW). We review earlier approaches and present new results related to overnight effects a…
Multiple time scales in volatility and leverage correlations: An stochastic volatility model
Josep Perello, Jaume Masoliver, Jean-Philippe Bouchaud
Financial time series exhibit two different type of non linear correlations: (i) volatility autocorrelations that have a very long range memory, on the order of years, and (ii) asy…
Stochastic volatility and leverage effect
Josep Perello, Jaume Masoliver
We prove that a wide class of correlated stochastic volatility models exactly measure an empirical fact in which past returns are anticorrelated with future volatilities: the so-ca…
Return or stock price differences
Jaume Masoliver, Miquel Montero, Josep Perello
The analysis which assumes that tick by tick data is linear may lead to wrong conclusions if the underlying process is multiplicative. We compare data analysis done with the return…