The times change: multivariate subordination, empirical facts

Nicolas Huth (1, 2) , Frédéric Abergel (1, 2)

1 MAS - Mathématiques Appliquées aux Systèmes - EA 4037
2 FiQuant - Chaire de finance quantitative

The normality of multi-asset returns in event time is shown empirically. A multivariate subordination mechanism is proposed in order to explain this phenomenon.

Domaines: Finance quantitative [q-fin.CP]; Statistiques [math.ST]; Théorie [stat.TH]

Nicolas Huth, Frédéric Abergel. The times change: multivariate subordination, empirical facts. Quantitative Finance, 2012, 12 (1), pp.1-10. ⟨10.1080/14697688.2010.481635⟩. ⟨hal-00620841⟩