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arxiv: 1511.08997 · v1 · pith:37SDPIHRnew · submitted 2015-11-29 · 💱 q-fin.CP

Realized Volatility Analysis in A Spin Model of Financial Markets

classification 💱 q-fin.CP
keywords financialmarketsrealizedspinvolatilitymodelreturnsstandardized
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We calculate the realized volatility in the spin model of financial markets and examine the returns standardized by the realized volatility. We find that moments of the standardized returns agree with the theoretical values of standard normal variables. This is the first evidence that the return dynamics of the spin financial market is consistent with the view of the mixture-of-distribution hypothesis that also holds in the real financial markets.

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