Index

Link to an experimental web Mathematica site for interactive calculations.

indexList={{"Overview","map", "This page is the starting point for navigation."},{"FinancialReturns","r00", "Basic concepts of financial return."},{"LogarithmicReturns","r01", "A look at how logarithmic returns work."},{"MarketReturns","r02", "Returns from financial markets."},{"ReturnDistribution","r03", "Returns as a set of events with a heavy tailed distribution."},{"ReturnEvents","r04","Returns as a set of events with a heavy tailed distribution, continued."},{"FatTails","r05","Some thoughts about why markets might have heavy tailed returns."},{"MarketData","r06", "Fitting market data to stationary and non-stationary stable distributions."},
{"Volatility","r07", "Measuring volatility with stable γ."},
{"Oil","r07a", "Oil future prices show the same behavior as stock prices."},
{"Crash","r08", "The association of market crashes with periods of high volatility."},
{"Extremes","r09", "Clustering of extreme rerurns in financial series."},
{"HittingTime","r10", "Hitting time or stopping time under a stable regime."},{"UnderConstruction","uc", "A filler page that will often point to areas under development."},{"Software","sw", "Information about stable software."},{"Links","lnk","Links to other pages with information on stable distributions."},
{"References","ref","Helpful references."},
{"StableDistributions","s00","Basic information about stable distributions."},{"StableDensity","s01","The stable density function."},{"StableProbability","s02","The stable distribution function."},{"Random","s03","Stable random numbers."},{"Variance","s04","A demonstration of what infinite variance means."},{"RVSums","s05","Sums of stable random variables."},{"GCLT","s06","A demonstration of the generalized central limit theorem."},{"CDA","s07","A continuous double auction model that generates stable returns."},
{"PowerTail","s07a","An idea about how power tail distributions arise in financial markets."},
{"Laplace","s07b","Skewed Laplace distribution and Laplace normal distribution."},
{"DoubleParetoLogNormal","s07c","Double Pareto-lognormal distributions are power tail distributions."},
{"CDA2","s07d","A continuous double auction model using the double Pareto-lognormal distribution to generate stable returns."},{"Election04","e00","Iowa Electronic Markets 2004 presidential election data."},{"Election08","e01","Iowa Electronic Markets 2008 presidential election data."},
{"WSJElection08","e02","Wall Street Journal 2008 presidential election data."},
{"InTradeElection08","e03","Intrade 2008 presidential election data."},
{"Rasmussen08","e04","Rasmussen Markets 2008 presidential election data."},
{"PresidentialPrediction","e05","A more sophisticated prediction market approach using Intrade 2008 presidential election data."},
{"CFFit","s08","Explanation of characteristic function fitting."},
{"Zolotarev","zn","Derivation of the Zolotarev-Nolan stable integral."},
{"FOMC","f00","Volatility after FOMC meetings."},
{"DailyVolatility","r07b","A gallery of daily volatility on fifty stocks, calculated from intraday data."},{"VolatilityModel","r07c","Simulated Market Volatility is created from a stable random sample."},
{"CharacteristicFunction","ft01","Characteristic functions can be used with the fast Fourier transform."},
{"FFT","ft02","The fast Fourier transform is used to calculate a density from a characteristic function."},
{"ShiftScale","ft03","Changing the location parameter and scale of a statistical distribution in the Fourier domain."},
{"Differentiation","ft04","Differentiation and integration in the Fourier domain."},
{"Convolution","ft05","Convolution in the Fourier domain."},
{"EmpiricalCF","ft06","Empirical characteristic functions with the fast Fourier transform."},
{"StableConvolution","ft07","Convolution of stable distributions--possible application to characteristic function fitting."},
{"FFTInterpolation","ft08","Enhanced stable approximation with the FFT using derivatives in the interpolation function."},
{"CFReferences","ftr","References for the Fourier transform pages."},
{"MarketTheory","wp1","A working paper describing a non-stationary heavy-tailed market model."},
{"LogNormalStable","s09","A new statistical distribution derived from the product of a lognormal and stable random variable."},
{"LNStableRV","s10","A demonstration of lognormal-stable random variables."},
{"LNSProperties","s11","An examination of the behavior of a lognormally scaled stable distribution."},
{"GeneralizedExtremeValueDistribution","s12","Properties of extreme value distributions."},
{"ModelTest","s13","A look at the performance of a non-stationary stable market model with a varying scale factor."},
{"LognormalNormal","lnn0","The lognormal normal distribution with a maximum likelihood parameter fitting algorithm."},
{"LNNRisk","lnn1","The lognormal normal distribution: how risk is represented."},
{"FitGallery","lnn2","Fits of ten years of data to the LNN distribution for all the components of the DJIA."},
{"LNNRV","lnn3","Simulation with LNN pseudo-random variables."},
{"LNNParameters","lnn4","Parameter estimation for the LNN distribution."},
{"StableStockAnalyzerM7","sa","A software notebook for stable analysis of market prices."},
{"CreditCrunch","r07d","An examination of Treasury Bond volatility since 1962."},
{"ComplexNumbers","z","A review of complex numbers in polar and Cartesian forms with refernce to the stable characteristic function."},
{"HowMarketsWork","wp2","A working paper, extending the theory of market behavior."},
{"MonetaryBase","mb","An exploration of the recent expansion of the monetary base."},
{"EVA Conference","eva","A link to the presentation at the 2009 Extreme Value Analysis Conference."},
{"LongRangeVolatility","r07e","Long range volatility obtained from daily market data."},
{"TrackVolatility","v00","A page that tracks recent market volatility."},
{"HighLowVolatility","v01","A simple readily accessible measure of volatility."},
{"MerleHazard","mh","Economic country songs by Merle Hazard."},
{"BlackSwanOil","bs1","Volatility in the Oil Market, May 2011"},
{"StablePRNG","s14","Stable pseudorandom number generator."},
{"PowerTailModel","s15","Power tail model for market returns."},
{"Index","idx","This page."}};
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MouseOver		Volatility in the Oil Market, May 2011

MouseOver		A continuous double auction model that generates stable returns.

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

MouseOver		Explanation of characteristic function fitting.

MouseOver		References for the Fourier transform pages.

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

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

MouseOver		Convolution in the Fourier domain.

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

MouseOver		An examination of Treasury Bond volatility since 1962.

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

MouseOver		Differentiation and integration in the Fourier domain.

MouseOver		Double Pareto-lognormal distributions are power tail distributions.

MouseOver		Iowa Electronic Markets 2004 presidential election data.

MouseOver		Iowa Electronic Markets 2008 presidential election data.

MouseOver		Empirical characteristic functions with the fast Fourier transform.

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

MouseOver		Clustering of extreme rerurns in financial series.

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

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

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

MouseOver		Basic concepts of financial return.

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

MouseOver		Volatility after FOMC meetings.

MouseOver		A demonstration of the generalized central limit theorem.

MouseOver		Properties of extreme value distributions.

MouseOver		A simple readily accessible measure of volatility.

MouseOver		Hitting time or stopping time under a stable regime.

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

MouseOver		This page.

MouseOver		Intrade 2008 presidential election data.

MouseOver		Skewed Laplace distribution and Laplace normal distribution.

MouseOver		Links to other pages with information on stable distributions.

MouseOver		Parameter estimation for the LNN distribution.

MouseOver		The lognormal normal distribution: how risk is represented.

MouseOver		Simulation with LNN pseudo-random variables.

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

MouseOver		A demonstration of lognormal-stable random variables.

MouseOver		A look at how logarithmic returns work.

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

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

MouseOver		Long range volatility obtained from daily market data.

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

MouseOver		Returns from financial markets.

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

MouseOver		Economic country songs by Merle Hazard.

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

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

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

MouseOver		This page is the starting point for navigation.

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

MouseOver		Power tail model for market returns.

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

MouseOver		Stable random numbers.

MouseOver		Rasmussen Markets 2008 presidential election data.

MouseOver		Helpful references.

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

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

MouseOver		Sums of stable random variables.

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

MouseOver		Information about stable software.

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

MouseOver		The stable density function.

MouseOver		Basic information about stable distributions.

MouseOver		Stable pseudorandom number generator.

MouseOver		The stable distribution function.

MouseOver		A software notebook for stable analysis of market prices.

MouseOver		A page that tracks recent market volatility.

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

MouseOver		A demonstration of what infinite variance means.

MouseOver		Measuring volatility with stable γ.

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

MouseOver		Wall Street Journal 2008 presidential election data.

MouseOver		Derivation of the Zolotarev-Nolan stable integral.

© Copyright 2012 mathestate    Wed 13 Jun 2012