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DTSTAMP:20260704T044009Z
DESCRIPTION:Quantact\n\nClustered Lévy processes and their financial applic
 ations\n\nDonatien Hainaut\, Université Catholique Louvain\n\nThis work co
 ntributes to the literature over time-changed processes in two directions.
  Firstly\, this is the first thorough study of theoretical properties of L
 é vy processes\, subordinated by a self-excited random clock. The process
  observed on this new time scale\, called clustered Lévy process\, presen
 ts interesting features for financial modeling like stochastic volatility 
 and grouped jumps. In this framework\, we infer analytical expressions for
  the mean\, variance\, and a new parametric form of the moment generating 
 function. A bivariate extension is also considered. Furthermore\, this art
 icle introduces a class of exponential affine changes of measure and the n
 ecessary conditions to preserve the dynamics of clustered Lévy processes 
 under an equivalent measure. The second major contribution is empirical. A
  new particle filter is proposed so as to recover the market time scale fr
 om a time series. And a method based on the numerical inversion of the mom
 ent generating function is used to estimate parameters. Finally\, a numeri
 cal analysis reveals that random clocks driving the S&P 500 and Eurostoxx 
 50 indices are highly correlated to trading volumes.\n\nWeb site : http://
 quantact.uqam.ca/index.html\n
DTSTART:20170407T180000Z
DTEND:20170407T180000Z
LOCATION:AA-5340\, CA\, Pavillon André-Aisenstadt\, CA\, QC\, Montreal\, 29
 20\, Chemin de la tour\, 5th floor
SUMMARY:Donatien Hainaut\, Université Catholique Louvain
URL:/channels/event/donatien-hainaut-universite-cathol
 ique-louvain-267434
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