Physics – Physics and Society
Scientific paper
2005-06-08
Physics
Physics and Society
misprints corrected
Scientific paper
The analysis of observed conditional distributions of both lagged and simultaneous intraday price increments of a basket of stocks reveals phenomena of dependence - induced volatility smile and kurtosis reduction. A model based on multivariate t-Student distribution shows that the observed effects are caused by colelctive non-gaussian dependence properties of financial time series.
Leonidov Andrei
Trainin Vladimir
Zaitsev Alexander
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