Multivariate subordination of stable processes

2018/02/08 by Vladimir G. Panov, Panov, V., Evgenii Samarin +1
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Fuzzy Systems and Optimization #Probability (math.PR)

paper · pdf · doi:10.48550/arxiv.1802.02876

openalex publication_date 2018/02/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This article is devoted to some time-changed stochastic models based on multivariate stable processes. The considered models have several advantages in comparison with classical time-changed Brownian motions - for instance, it turns out that they are more appropriate for describing stock prices if the amount of transactions is used for a stochastic time change. In this paper, we provide a detailed discussion of the model, which is based on two popular concepts - multivariate subordination and Lévy copulas.

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