arXiv subjects

Pablo Suárez-García

Publications and source records attributed to Pablo Suárez-García.

3 recordsLinked to original sources

arXiv2019

Assessing the effect of advertising expenditures upon sales: a Bayesian structural time series model

We propose a robust implementation of the Nerlove--Arrow model using a Bayesian structural time series model to explain the relationship between advertising expenditures of a country-wide fast-food franchise network with its weekly sales. Thanks to the flexibility and modularity of the model, it is well suited to generalization to other markets or situations. Its Bayesian nature facilitates incorporating \emph{a priori} information (the manager's views), which can be updated with relevant data. This aspect of the model will be used to present a strategy of budget scheduling across time and channels.

stat.ML↗

arXiv2013

Multifractality and long memory of a financial index

In this paper we will try to assess the multifractality displayed by the high-frequency returns of Madrid's Stock Exchange IBEX35 index. A Multifractal Detrended Fluctuation Analysis shows that this index has a wide singularity spectrum which is most likely caused by its long memory. Our findings also show that this long-memory can be considered as the superposition of a high-frequency component (related to the daily cycles of arrival of information to the market), over a slowly-varying component that reverberates for long periods of time and which shows no apparent relation with human economic cycles. This later component is therefore postulated to be endogenous to market's dynamics and to be also the most probable source of some of the stylized facts commonly associated with financial time series.

q-fin.ST↗

arXiv2012

Scaling, stability and distribution of the high-frequency returns of the IBEX35 index

In this paper we perform a statistical analysis of the high-frequency returns of the IBEX35 Madrid stock exchange index. We find that its probability distribution seems to be stable over different time scales, a stylized fact observed in many different financial time series. However, an in-depth analysis of the data using maximum likelihood estimation and different goodness-of-fit tests rejects the Lévy-stable law as a plausible underlying probabilistic model. The analysis shows that the Normal Inverse Gaussian distribution provides an overall fit for the data better than any of the other subclasses of the family of the Generalized Hyperbolic distributions and certainly much better than the Lévy-stable laws. Furthermore, the right (resp. left) tail of the distribution seems to follow a power-law with exponent α=4.60 (resp. α=4.28). Finally, we present evidence that the observed stability is due to temporal correlations or non-stationarities of the data.

q-fin.ST↗