Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months

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dc.contributor.authorVicente, R.
dc.contributor.authorde Toledo, C. M.
dc.contributor.authorLeite, VBP
dc.contributor.authorCaticha, N.
dc.contributor.institutionUniversidade de São Paulo (USP)
dc.contributor.institutionBOVESPA São Paulo Stock Exchange
dc.contributor.institutionUniversidade Estadual Paulista (Unesp)
dc.date.accessioned2014-05-20T15:23:08Z
dc.date.available2014-05-20T15:23:08Z
dc.date.issued2006-02-15
dc.description.abstractWe investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics. (c) 2005 Elsevier B.V. All rights reserved.en
dc.description.affiliationUniv São Paulo, Dep Fis Geral, Inst Fis, BR-05315970 São Paulo, Brazil
dc.description.affiliationBOVESPA São Paulo Stock Exchange, BR-01013001 São Paulo, Brazil
dc.description.affiliationUniv Estadual Paulista, Dept Fis, IBILCE, BR-15054000 Sao Jose do Rio Preto, SP, Brazil
dc.description.affiliationUniv São Paulo, Escola Artes Ciências & Humanidades, BR-03828020 São Paulo, Brazil
dc.description.affiliationUnespUniv Estadual Paulista, Dept Fis, IBILCE, BR-15054000 Sao Jose do Rio Preto, SP, Brazil
dc.format.extent272-288
dc.identifierhttp://dx.doi.org/10.1016/j.physa.2005.06.095
dc.identifier.citationPhysica A-statistical Mechanics and Its Applications. Amsterdam: Elsevier B.V., v. 361, n. 1, p. 272-288, 2006.
dc.identifier.doi10.1016/j.physa.2005.06.095
dc.identifier.issn0378-4371
dc.identifier.lattes0500034174785796
dc.identifier.urihttp://hdl.handle.net/11449/33977
dc.identifier.wosWOS:000235533200021
dc.language.isoeng
dc.publisherElsevier B.V.
dc.relation.ispartofPhysica A: Statistical Mechanics and Its Applications
dc.relation.ispartofjcr2.132
dc.relation.ispartofsjr0,773
dc.rights.accessRightsAcesso restrito
dc.sourceWeb of Science
dc.subjecteconophysicspt
dc.subjectstochastic volatilitypt
dc.subjectHeston modelpt
dc.subjecthigh-frequency financept
dc.titleUnderlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to monthsen
dc.typeArtigo
dcterms.licensehttp://www.elsevier.com/about/open-access/open-access-policies/article-posting-policy
dcterms.rightsHolderElsevier B.V.
unesp.author.lattes0500034174785796
unesp.campusUniversidade Estadual Paulista (Unesp), Instituto de Biociências Letras e Ciências Exatas, São José do Rio Pretopt

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Artigos - Física - IBILCE