Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)

Feldman, David; Xu, Xin

doi:10.1007/s10479-015-1972-8

Search citation statements

Order By: Relevance

Paper Sections

Select...

Introduction1

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2018

2022

Publication Types

Select...

Article2

Relationship

Self Cite0

Independent2

Authors

Journals

Cited by 2 publications

(1 citation statement)

References 38 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In so doing, we are in line with some important contributions dealing with the forecast of market risk as a relevant target in the field of decision support systems (see, e.g. D 'Ecclesia & Clementi, 2021;Feldman & Xu, 2018;Groth & Muntermann, 2011;Huang & Kou, 2014;Al Janabi, 2013).…”

Section: Introductionsupporting

confidence: 76%

Statistical methods for decision support systems in finance: how Benford’s law predicts financial risk

2022

View full text Add to dashboard Cite

This paper merges the statistical analysis of data regularities and decision support systems for investors. Specifically, it discusses the Benford’s law as a decision support device for financial investments. In particular, we illustrate the role of such a property of financial data as risk predictor for financial markets. First of all, we show empirical evidence of accordance between data on market index daily returns and Benford’s law. Then, we highlight that on short time period (1 year) the deviations from Benford’s law are related to low risk and positive trend periods; the p value of the $$\chi ^2$$ χ 2 test against the Benford’s distribution displays some predicting power for the market average return and risk level.

show abstract

Section: Introductionsupporting

confidence: 76%