arXiv subjects

Vitor B. P. Leite

Publications and source records attributed to Vitor B. P. Leite.

3 recordsLinked to original sources

arXiv2007

Long Term Economic Relationships From Cointegration Maps

We employ the Bayesian framework to define a cointegration measure aimed to represent long term relationships between time series. For visualization of these relationships we introduce a dissimilarity matrix and a map based on the Sorting Points Into Neighborhoods (SPIN) technique, which has been previously used to analyze large data sets from DNA arrays. We exemplify the technique in three data sets: US interest rates, monthly inflation rates and gross domestic product growth rates.

physics.soc-ph↗

arXiv2005

Underlying Dynamics of Typical Fluctuations of an Emerging Market Price Index: The Heston Model from Minutes to Months

We 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 20 minutes to 160 days. At time scales shorter than 20 minutes 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.

physics.soc-ph↗

arXiv2004

Common Underlying Dynamics in an Emerging Market: From Minutes to Months

We analyse a period spanning 35 years of activity in the Sao Paulo Stock Exchange Index (IBOVESPA) and show that the Heston model with stochastic volatility is capable of explaining price fluctuations for time scales ranging from 5 minutes to 100 days with a single set of parameters. We also show that the Heston model is inconsistent with the observed behavior of the volatility autocorrelation function. We deal with the latter inconsistency by introducing a slow time scale to the model. The fact that the price dynamics in a period of 35 years of macroeconomical unrest may be modeled by the same stochastic process is evidence for a general underlying microscopic market dynamics.

cond-mat.stat-mech↗