Brownian motions Standard Brownian motion = uncorrelated Gaussian.pdf

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Brownian motions Standard Brownian motion = uncorrelated Gaussian.pdf

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Brownian motions Standard Brownian motion = uncorrelated Gaussian

Statistical Properties of Financial Timeseries1 Rik Blok2 Centre for Applied Ethics, UBC June 6, 2002 Abstract A brief introduction to Le?vy flight and fractional Brownian motion from the experimentalist’s perspective. Simple tools to analyze these timeseries, the Zipf plot and dispersional analysis, are presented. As a demonstration, these tools are applied to intraday foreign exchange data to determine the Le?vy and Hurst exponents. Outline Brownian motions 1 Self-affine 3 Universal 4 Le?vy flight 5 Finite-size effects: A tail of tails 7 Data analysis: Zipf plot 9 Test: Synthetic Le?vy series 12 Fractional Brownian motion 14 Diffusion 15 Data analysis: Dispersion 16 Test: Synthetic fBm series 19 Empirical example(s) 20 Swiss Franc versus U.S. Dollar exchange rate 20 1/lib/blok02.html 2mailto:rikblok@shaw.ca Stat. Props. of Fin. Timeseries Rik Blok Brownian motions ? Standard Brownian motion = uncorrelated Gaussian increments (finite variance), α = 2, H = 1/2 ? Fractional Brownian motion (fBm) = finite variance but correlations extend over entire history, H 6= 1/2 (0 H 1) ? Le?vy flight = uncorrelated increments but divergent variance, α 2 (mean also diverges if α 1) PSfrag replacements fractional Brownian L e?v y standard Brownian H α June 6, 2002 1 of 25 Stat. Props. of Fin. Timeseries Rik Blok PSfrag replacements H = 0.5, α = 2 H = 0.1, α = 2 H = 0.9, α = 2 H = 0.5, α = 1.3 PSfrag replacements H = 0.5, α = 2 H = 0.1, α = 2 H = 0.9, α = 2 H = 0.5, α = 1.3 PSfrag replacements H = 0.5, α = 2 H = 0.1, α = 2 H = 0.9, α = 2 H = 0.5, α = 1.3 PSfrag replacements H = 0.5, α = 2 H = 0.1, α = 2 H = 0.9, α = 2 H = 0.5, α = 1.3 June 6, 2002 2 of 25 Stat. Props. of Fin. Timeseries Rik Blok Self-affine If timescale zoomed by factor a then process looks statis- tically identical by scaling series by: fBm ? b = aH Le?vy ? b = a1/α PSfrag replacements a b PSfrag replacements a b Warning: some tools to calculate exponent rely on self- affinity and are unable to distinguish bet