Seminar: "Time dependent return distributions, nonlinear Fokker-Planck dynamics and the Tsallis-entropy"

AUEB STATISTICS SEMINAR SERIES NOVEMBER 2022

Bernhard Schipp, Technische Universität Dresden

Title: Time dependent return distributions, nonlinear Fokker-Planck dynamics and the Tsallis-entropy

ABSTRACT:

This paper investigates the performance of the two-parameter Tsallis-distribution (generalized t-distribution for non-integer df) to model (market)-returns. In the framework of a stochastic volatility model with a background driving Lévy-process it can be shown, at first by simulation and secondly by an empirical application to Microsoft-returns, that the proposed modelling approach outperforms the classical one for almost arbitrary levels of temporal aggregation.

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