The angular distribution of asset returns in delay space

The angular distribution of asset returns in delay space

Plotting asset returns against themselves with a one-period lag reveals the “compass rose” pattern of Crack and Ledoit (1996). They describe the pattern, caused by discreteness, as “subjective”. We develop a new and original set of “objective” statistical procedures to quantify the compass rose and...

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Bibliographic Details
Main Authors: Roger Koppl, Carlo Nardone
Format: Article
Language:English
Published: Hindawi Limited 2001-01-01
Series:Discrete Dynamics in Nature and Society
Subjects:
Compass rose; Theta histograms; X-skewing; ARCH phenomena.
Online Access:http://dx.doi.org/10.1155/S1026022601000115
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spelling doaj-9eeaa54cb5fa4354b97b16fd73e71cfd2020-11-24T23:38:18ZengHindawi LimitedDiscrete Dynamics in Nature and Society1026-02261607-887X2001-01-016210112010.1155/S1026022601000115The angular distribution of asset returns in delay spaceRoger Koppl0Carlo Nardone1Department of Economics and Finance, Fairleigh Dickinson University, Madison, NJ 07940, USASun Microsystems Italia SpA, via G. Romagnosi 4, Roma I-00196, ItalyPlotting asset returns against themselves with a one-period lag reveals the “compass rose” pattern of Crack and Ledoit (1996). They describe the pattern, caused by discreteness, as “subjective”. We develop a new and original set of “objective” statistical procedures to quantify the compass rose and detect changes in it. empirical and bootstrapped “theta histograms” permits hypothesis testing. Simulations suggest that intertemporal statistical dependence skews the compass rose in ways that mimic ARCH phenomena. Using our techniques on “credit ruble” data, we test the hypothesis that “Big Players” influence the degree of this “X-skewing” and, therefore, apparent ARCH behavior.http://dx.doi.org/10.1155/S1026022601000115Compass rose; Theta histograms; X-skewing; ARCH phenomena.
collection DOAJ
language English
format Article
sources DOAJ
author Roger Koppl
Carlo Nardone
spellingShingle Roger Koppl
Carlo Nardone
The angular distribution of asset returns in delay space
Discrete Dynamics in Nature and Society
Compass rose; Theta histograms; X-skewing; ARCH phenomena.
author_facet Roger Koppl
Carlo Nardone
author_sort Roger Koppl
title The angular distribution of asset returns in delay space
title_short The angular distribution of asset returns in delay space
title_full The angular distribution of asset returns in delay space
title_fullStr The angular distribution of asset returns in delay space
title_full_unstemmed The angular distribution of asset returns in delay space
title_sort angular distribution of asset returns in delay space
publisher Hindawi Limited
series Discrete Dynamics in Nature and Society
issn 1026-0226
1607-887X
publishDate 2001-01-01
description Plotting asset returns against themselves with a one-period lag reveals the “compass rose” pattern of Crack and Ledoit (1996). They describe the pattern, caused by discreteness, as “subjective”. We develop a new and original set of “objective” statistical procedures to quantify the compass rose and detect changes in it. empirical and bootstrapped “theta histograms” permits hypothesis testing. Simulations suggest that intertemporal statistical dependence skews the compass rose in ways that mimic ARCH phenomena. Using our techniques on “credit ruble” data, we test the hypothesis that “Big Players” influence the degree of this “X-skewing” and, therefore, apparent ARCH behavior.
topic Compass rose; Theta histograms; X-skewing; ARCH phenomena.
url http://dx.doi.org/10.1155/S1026022601000115
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