Mathestate Logo



Link to an experimental web Mathematica site for interactive calculations.

BlackSwanOil        Volatility in the Oil Market, May 2011

CDA        A continuous double auction model that generates stable returns.

CDA2        A continuous double auction model using the double Pareto-lognormal distribution to generate stable returns.

CFFit        Explanation of characteristic function fitting.

CFReferences        References for the Fourier transform pages.

CharacteristicFunction        Characteristic functions can be used with the fast Fourier transform.

ComplexNumbers        A review of complex numbers in polar and Cartesian forms with refernce to the stable characteristic function.

Convolution        Convolution in the Fourier domain.

Crash        The association of market crashes with periods of high volatility.

CreditCrunch        An examination of Treasury Bond volatility since 1962.

DailyVolatility        A gallery of daily volatility on fifty stocks, calculated from intraday data.

Differentiation        Differentiation and integration in the Fourier domain.

DoubleParetoLogNormal        Double Pareto-lognormal distributions are power tail distributions.

Election04        Iowa Electronic Markets 2004 presidential election data.

Election08        Iowa Electronic Markets 2008 presidential election data.

EmpiricalCF        Empirical characteristic functions with the fast Fourier transform.

EVA Conference        A link to the presentation at the 2009 Extreme Value Analysis Conference.

Extremes        Clustering of extreme rerurns in financial series.

FatTails        Some thoughts about why markets might have heavy tailed returns.

FFT        The fast Fourier transform is used to calculate a density from a characteristic function.

FFTInterpolation        Enhanced stable approximation with the FFT using derivatives in the interpolation function.

FinancialReturns        Basic concepts of financial return.

FitGallery        Fits of ten years of data to the LNN distribution for all the components of the DJIA.

FOMC        Volatility after FOMC meetings.

GCLT        A demonstration of the generalized central limit theorem.

GeneralizedExtremeValueDistribution        Properties of extreme value distributions.

HighLowVolatility        A simple readily accessible measure of volatility.

HittingTime        Hitting time or stopping time under a stable regime.

HowMarketsWork        A working paper, extending the theory of market behavior.

Index        This page.

InTradeElection08        Intrade 2008 presidential election data.

Laplace        Skewed Laplace distribution and Laplace normal distribution.

Links        Links to other pages with information on stable distributions.

LNNParameters        Parameter estimation for the LNN distribution.

LNNRisk        The lognormal normal distribution: how risk is represented.

LNNRV        Simulation with LNN pseudo-random variables.

LNSProperties        An examination of the behavior of a lognormally scaled stable distribution.

LNStableRV        A demonstration of lognormal-stable random variables.

LogarithmicReturns        A look at how logarithmic returns work.

LognormalNormal        The lognormal normal distribution with a maximum likelihood parameter fitting algorithm.

LogNormalStable        A new statistical distribution derived from the product of a lognormal and stable random variable.

LongRangeVolatility        Long range volatility obtained from daily market data.

MarketData        Fitting market data to stationary and non-stationary stable distributions.

MarketReturns        Returns from financial markets.

MarketTheory        A working paper describing a non-stationary heavy-tailed market model.

MerleHazard        Economic country songs by Merle Hazard.

ModelTest        A look at the performance of a non-stationary stable market model with a varying scale factor.

MonetaryBase        An exploration of the recent expansion of the monetary base.

Oil        Oil future prices show the same behavior as stock prices.

Overview        This page is the starting point for navigation.

PowerTail        An idea about how power tail distributions arise in financial markets.

PowerTailModel        Power tail model for market returns.

PresidentialPrediction        A more sophisticated prediction market approach using Intrade 2008 presidential election data.

Random        Stable random numbers.

Rasmussen08        Rasmussen Markets 2008 presidential election data.

References        Helpful references.

ReturnDistribution        Returns as a set of events with a heavy tailed distribution.

ReturnEvents        Returns as a set of events with a heavy tailed distribution, continued.

RVSums        Sums of stable random variables.

ShiftScale        Changing the location parameter and scale of a statistical distribution in the Fourier domain.

Software        Information about stable software.

StableConvolution        Convolution of stable distributions--possible application to characteristic function fitting.

StableDensity        The stable density function.

StableDistributions        Basic information about stable distributions.

StablePRNG        Stable pseudorandom number generator.

StableProbability        The stable distribution function.

StableStockAnalyzerM7        A software notebook for stable analysis of market prices.

TrackVolatility        A page that tracks recent market volatility.

UnderConstruction        A filler page that will often point to areas under development.

Variance        A demonstration of what infinite variance means.

Volatility        Measuring volatility with stable γ.

VolatilityModel        Simulated Market Volatility is created from a stable random sample.

WSJElection08        Wall Street Journal 2008 presidential election data.

Zolotarev        Derivation of the Zolotarev-Nolan stable integral.


© Copyright 2012 mathestate    Wed 13 Jun 2012