Overview

Financial Section Overview

This web space is devoted to a novel approach to the analysis of financial data.  The underlying idea is that much of the behavior of financial markets can be described by heavy-tailed statistical distributions.  We do not make the assumption that the descriptive distribution is stationary.  Stable distributions are used as a tool for modeling data and the scale parameter of a stable distribution is used to estimate volatility of returns.  All of the analysis is based on the distribution of logarithmic returns -- differences in logarithms of prices.

The site map below shows suggested pathways through the material.  Each page or set of pages below contains a link to the next logical section as well as a link back to this page.  The map is designed so that you can easily jump around; if something seems too difficult at first, move to another set of pages.  The path starting with "Returns" starts very simply and hopefully somewhat intuitively leads into the sections that require some feeling for statistical distributions.  For users with some background in statistics a reasonable starting point might be "Fitting Market Data."  The path starting with "Stable Distributions" presents some basic information about stable distributions.  If you get lost, there is an index to all the pages.

New!
We are developing a series of computable documents which can be run with Wolfram CDF Player.  These documents run on your computer; to use them you need to know only how to use a mouse or a track pad.  The CDF player contains a complete Mathematica engine which can do all of the computations that you see on other pages on this site.  The difference is that the documents are dynamic and you can control inputs and outputs.  For instance, we have implemented, the idea shown in the fitting market data section so that you can calculate price probability curves and see graphically all the calculations behind the fitting for any stock.  All you have to do is enter a ticker symbol with a few clicks.  You can then control the calculations and see the numerical output at any point on the curve.  Here is the link to the index of documents ComputableDocumentFormat.

Here is a link to our presentation at the Extreme Value Analysis Conference in Fort Collins, Colorado June 23-26, 2009.

We have an interactive site where you may try a variety of calculations on different securities or even submit your own data for stable analysis.  These routines are driven by webMathematica and are located on another server.  The site is still experimental and may not always be operating.  Your feedback will help us decide whether to continue the effort.

Sometimes the math doesn't always seem to work so here are some songs to cheer you up on those occasions.

Enjoy your tour!

Email comments and questions to Bob Rimmer.