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Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-4207
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dc.contributor.authorBreymann, Wolfgang-
dc.contributor.authorKelly, Leah-
dc.contributor.authorPlaten, Eckhard-
dc.date.accessioned2018-04-04T06:35:17Z-
dc.date.available2018-04-04T06:35:17Z-
dc.date.issued2006-
dc.identifier.issn1387-2834de_CH
dc.identifier.issn1573-6946de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/4658-
dc.descriptionErworben im Rahmen der Schweizer Nationallizenzen (http://www.nationallizenzen.ch)de_CH
dc.description.abstractThis paper proposes an approach to the intraday analysis of diversified world stock accumulation indices. The growth optimal portfolio (GOP) is used as reference unit or benchmark in a continuous financial market model. Diversified portfolios, covering the world stock market, are constructed and shown to approximate the GOP, providing the basis for a range of financial applications. The normalized GOP is modeled as a time transformed square root process of dimension four. Its dynamics are empirically verified for several world stock indices. Furthermore, the evolution of the transformed time is modeled as the integral over a rapidly evolving mean-reverting market activity process with deterministic volatility. The empirical findings suggest a rather simple and robust model for a world stock index that reflects the historical evolution, by using only a few readily observable parameters.de_CH
dc.language.isoende_CH
dc.publisherSpringerde_CH
dc.relation.ispartofAsia-Pacific Financial Marketsde_CH
dc.rightsLicence according to publishing contractde_CH
dc.subjectWorld stock indexde_CH
dc.subjectIntraday analysisde_CH
dc.subjectGrowth optimal portfoliode_CH
dc.subjectDiversified portfoliode_CH
dc.subjectMarket activityde_CH
dc.subjectDeseasonalizationde_CH
dc.subjectSquare root processde_CH
dc.subject.ddc332: Finanzwirtschaftde_CH
dc.titleIntraday empirical analysis and modeling of diversified world stock indicesde_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Engineeringde_CH
zhaw.organisationalunitInstitut für Datenanalyse und Prozessdesign (IDP)de_CH
dc.identifier.doi10.21256/zhaw-4207-
dc.identifier.doi10.1007/s10690-006-9010-0de_CH
zhaw.funding.euNode_CH
zhaw.issue1de_CH
zhaw.originated.zhawYesde_CH
zhaw.pages.end28de_CH
zhaw.pages.start1de_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume12de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
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Breymann, W., Kelly, L., & Platen, E. (2006). Intraday empirical analysis and modeling of diversified world stock indices. Asia-Pacific Financial Markets, 12(1), 1–28. https://doi.org/10.21256/zhaw-4207
Breymann, W., Kelly, L. and Platen, E. (2006) ‘Intraday empirical analysis and modeling of diversified world stock indices’, Asia-Pacific Financial Markets, 12(1), pp. 1–28. Available at: https://doi.org/10.21256/zhaw-4207.
W. Breymann, L. Kelly, and E. Platen, “Intraday empirical analysis and modeling of diversified world stock indices,” Asia-Pacific Financial Markets, vol. 12, no. 1, pp. 1–28, 2006, doi: 10.21256/zhaw-4207.
BREYMANN, Wolfgang, Leah KELLY und Eckhard PLATEN, 2006. Intraday empirical analysis and modeling of diversified world stock indices. Asia-Pacific Financial Markets. 2006. Bd. 12, Nr. 1, S. 1–28. DOI 10.21256/zhaw-4207
Breymann, Wolfgang, Leah Kelly, and Eckhard Platen. 2006. “Intraday Empirical Analysis and Modeling of Diversified World Stock Indices.” Asia-Pacific Financial Markets 12 (1): 1–28. https://doi.org/10.21256/zhaw-4207.
Breymann, Wolfgang, et al. “Intraday Empirical Analysis and Modeling of Diversified World Stock Indices.” Asia-Pacific Financial Markets, vol. 12, no. 1, 2006, pp. 1–28, https://doi.org/10.21256/zhaw-4207.


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