Using the Lévy sections to reduce risks in the buying strategies and asset sales that value in time

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MetadadosDescriçãoIdioma
Autor(es): dc.creatorFigueiredo Neto, Annibal Dias de-
Autor(es): dc.creatorCastro, Márcio Tavares de-
Autor(es): dc.creatorFonseca, Regina Célia Bueno da-
Autor(es): dc.creatorMatsushita, Raul Yukihiro-
Data de aceite: dc.date.accessioned2024-10-23T16:46:15Z-
Data de disponibilização: dc.date.available2024-10-23T16:46:15Z-
Data de envio: dc.date.issued2021-10-15-
Data de envio: dc.date.issued2021-10-15-
Data de envio: dc.date.issued2020-
Fonte completa do material: dc.identifierhttps://repositorio.unb.br/handle/10482/42141-
Fonte completa do material: dc.identifierhttps://doi.org/10.1016/j.cnsns.2021.106023-
Fonte: dc.identifier.urihttp://educapes.capes.gov.br/handle/capes/916858-
Descrição: dc.descriptionPreviously, some of us put forward the Lévy sections theorem revisited as an extension of the classical central limit theorem that provides an alternative view of data volatilities (Figueiredo et al., 2007a, 2007b). In this paper, we discuss its usefulness in the risk assessment of financial assets. Although it is a stylized fact that prices are likely to follow non-Gaussian random walks, time randomization under the Lévy sections theorem conditions allows us to recover some Gaussianity. Thus, we propose a study comparing two buying and selling strategies: A fixed-time interval strategy against a random-time-interval strategy based on a Lévy section . We exemplify our approach with four financial time series (two daily and two intraday datasets), and we conclude that the random-time strategy offers a lower risk and a given expected gain in a shorter time than the fixed-time strategy.-
Publicador: dc.publisherElsevier-
Relação: dc.relationhttps://www.sciencedirect.com/science/article/pii/S100757042100335X?via%3Dihub-
Direitos: dc.rightsAcesso Restrito-
Palavras-chave: dc.subjectSeções de Lévy-
Palavras-chave: dc.subjectCompra e venda-
Palavras-chave: dc.subjectAtivos financeiros-
Título: dc.titleUsing the Lévy sections to reduce risks in the buying strategies and asset sales that value in time-
Tipo de arquivo: dc.typelivro digital-
Aparece nas coleções:Repositório Institucional – UNB

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