Jove
Visualize
Contact Us
JoVE
x logofacebook logolinkedin logoyoutube logo
ABOUT JoVE
OverviewLeadershipBlogJoVE Help Center
AUTHORS
Publishing ProcessEditorial BoardScope & PoliciesPeer ReviewFAQSubmit
LIBRARIANS
TestimonialsSubscriptionsAccessResourcesLibrary Advisory BoardFAQ
RESEARCH
JoVE JournalMethods CollectionsJoVE Encyclopedia of ExperimentsArchive
EDUCATION
JoVE CoreJoVE BusinessJoVE Science EducationJoVE Lab ManualFaculty Resource CenterFaculty Site
Terms & Conditions of Use
Privacy Policy
Policies

Related Experiment Videos

Random diffusion and leverage effect in financial markets.

Josep Perelló1, Jaume Masoliver

  • 1Departament de Física Fonamental, Universitat de Barcelona, Diagonal 647, Spain. perello@ffn.ub.es

Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics
|April 12, 2003
PubMed
Summary
This summary is machine-generated.

Related Concept Videos

You might also read

Related Articles

Articles linked to this work by shared authors, journal, and citation graph.

Sort by
Same author

Explorative pedestrian mobility geolocated data from a citizen science experiment in a neighbourhood.

Scientific data·2025
Same author

Safety, Tolerability and Pharmacokinetics of Sodium Tungstate (OXO-001) in Healthy Female Volunteers of Childbearing Age: A Randomized, Double-Blind, Dose-Finding, and Placebo-Controlled Phase I Study.

International journal of fertility & sterility·2025
Same author

Level-crossing counting for generalized Langevin equations.

Physical review. E·2025
Same author

Effect of stochastic resettings on the counting of level crossings for inertial random processes.

Physical review. E·2024
Same author

Erratum: Counting of level crossings for inertial random processes: Generalization of the Rice formula [Phys. Rev. E 107, 024111 (2023)].

Physical review. E·2023
Same author

Home-to-school pedestrian mobility GPS data from a citizen science experiment in the Barcelona area.

Scientific data·2023
Same journal

Tension on dsDNA bound to ssDNA-RecA filaments may play an important role in driving efficient and accurate homology recognition and strand exchange.

Physical review. E, Statistical, nonlinear, and soft matter physics·2016
Same journal

Publisher's Note: Amplitude-phase coupling drives chimera states in globally coupled laser networks [Phys. Rev. E 91, 040901(R) (2015)].

Physical review. E, Statistical, nonlinear, and soft matter physics·2016
Same journal

Erratum: Shapes of sedimenting soft elastic capsules in a viscous fluid [Phys. Rev. E 92, 033003 (2015)].

Physical review. E, Statistical, nonlinear, and soft matter physics·2016
Same journal

Erratum: Attenuation of excitation decay rate due to collective effect [Phys. Rev. E 90, 022142 (2014)].

Physical review. E, Statistical, nonlinear, and soft matter physics·2016
Same journal

Publisher's Note: Role of connectivity and fluctuations in the nucleation of calcium waves in cardiac cells [Phys. Rev. E 92, 052715 (2015)].

Physical review. E, Statistical, nonlinear, and soft matter physics·2016
Same journal

Publisher's Note: Lattice Boltzmann approach for complex nonequilibrium flows [Phys. Rev. E 92, 043308 (2015)].

Physical review. E, Statistical, nonlinear, and soft matter physics·2016
See all related articles

Brownian market models with random diffusion coefficients accurately measure the leverage effect, where past returns correlate with future diffusion. This study quantifies this relationship, offering insights into financial market dynamics.

Area of Science:

  • Quantitative finance
  • Statistical modeling
  • Financial econometrics

Background:

  • The leverage effect, an empirical observation in financial markets, describes the negative correlation between past stock returns and future volatility.
  • Existing Brownian market models with random diffusion coefficients have not been quantitatively studied for their ability to capture the leverage effect.
  • Several models have been proposed, but a comprehensive analysis of the leverage effect within these frameworks is lacking.

Purpose of the Study:

  • To demonstrate that Brownian market models with random diffusion coefficients can precisely quantify the leverage effect.
  • To conduct a quantitative study of the leverage effect in the context of random diffusion models.
  • To enable a deeper investigation of correlated random diffusion models and their financial market implications.

Related Experiment Videos

Main Methods:

  • Utilizing Brownian market models with random diffusion coefficients.
  • Developing a framework for the exact measurement of the leverage effect.
  • Performing a full estimation of all parameters within the proposed models.

Main Results:

  • Brownian market models with random diffusion coefficients provide an exact measure of the leverage effect.
  • Established the anticorrelation between past returns and future diffusion coefficients.
  • Enabled quantitative estimation of parameters in correlated random diffusion models.

Conclusions:

  • Brownian market models with random diffusion coefficients offer a robust framework for understanding the leverage effect.
  • The quantitative estimation of parameters facilitates a deeper study of correlated random diffusion models.
  • Findings have potential practical implications for various aspects of financial market analysis and modeling.