Indexation and Causation of Financial Markets by Yoko Tanokura, Genshiro Kitagawa
English | PDF | 2015 | 110 Pages | ISBN : 4431552758 | 9.5 MB
This book presents a new statistical method of constructing a price index of a financial asset where the price distributions are skewed and heavy-tailed and investigates the effectiveness of the method. In order to fully reflect the movements of prices or returns on a financial asset, the index should reflect their distributions. However, they are often heavy-tailed and possibly skewed, and identifying them directly is not easy.