Model for Asset Returns and FractalMarket Hypothesis
نویسندگان
چکیده
A new general model for asset returns is studied in the framework of the Fractal Market Hypothesis (FMH). To accomodate markets with arbitrage opportunities it concerns capital market systems in which the Conditionally Exponential Dependence (CED) property can be attached to each investor on the market. Emploing the limit theorem for the CED systems, the universal characteristics for the distribution of asset returns are derived. This explains the special role of the Weibull distribution in modeling of global asset returns for market with no arbitrage and the two-power laws property of the density of global returns, evident in the empirical data. Finally, the link with two{parameter Pareto distributions is established. Financial modeling; asset returns; fractal market hypothesis; arbitrage; stochastic CED systems; Weibull distribution; two{parameter Pareto distributions
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