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Musciotto, Federico (2014) Modelization of high frequency financial data based on ensembles and scaling. [Magistrali biennali]

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Abstract

I provide a model for financial data,built by focusing on the empirical features of the S&P 500 index but capable to describe also different assets. My formulation is based on the exploitation of the self-similarity of the data,inside an ensemble approach. Moreover,evidence of the opportunity of unification of intraday and interday formalism is provided. A trading strategy is introduced to test the effects of linear correlations on the structure of the model, and its application is extended to different assets and values of frequency.

Item Type:Magistrali biennali
Uncontrolled Keywords:self-similarity,returns,volatility,stylized facts
Subjects:Area 02 - Scienze fisiche > FIS/02 Fisica teorica, modelli e metodi matematici
Codice ID:46010
Relatore:Stella, Attilio
Data della tesi:July 2014
Biblioteca:Polo di Scienze > Dip. Fisica e Astronomia "Galileo Galilei" - Biblioteca
Tipo di fruizione per il documento:on-line per i full-text
Tesi sperimentale (Si) o compilativa (No)?:Yes

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