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In this work, employing a moving window to scan through every stock price time series over a period from 2 January 1986 to 20 October 2015, we use cross-correlations to measure the interdependence between stock prices, and we construct a corresponding minimal spanning tree for 170 U.S. stocks in every given window. We show how the asset tree evolves over time and describe the dynamics of its normalized...
This paper pays attention to Ornstein-Uhlenbeck (OU) based stochastic volatility models with marginal law given by Classical Tempered Stable (CTS) distribution and Normal Inverse Gaussian (NIG) distribution, which are subclasses of infinite activity Lévy processes and are compared to finite activity Barndorff-Nielsen and Shephard (BNS) model. They are applied to option pricing and hedging in capturing...
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