Comparing the order statistics of daily returns of the S&P 500 index from 03.01.1950 to 04.03.2013 with the corresponding rankits, a linear scale dilation is observed. This observation is used to derive a five-parameter density function for the parsimonious description of the unconditional distribution of stock returns. The typical graph of this density function looks like a wizard's hat. Its signature feature is the discontinuity at zero.
| Published in | American Journal of Theoretical and Applied Statistics (Volume 2, Issue 2) |
| DOI | 10.11648/j.ajtas.20130202.15 |
| Page(s) | 38-41 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2013. Published by Science Publishing Group |
Discontinuity, Rankits, Stock Returns, Unconditional Distribution
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APA Style
E. Reschenhofer. (2013). Linear Scale Dilation of Asset Returns. American Journal of Theoretical and Applied Statistics, 2(2), 38-41. https://doi.org/10.11648/j.ajtas.20130202.15
ACS Style
E. Reschenhofer. Linear Scale Dilation of Asset Returns. Am. J. Theor. Appl. Stat. 2013, 2(2), 38-41. doi: 10.11648/j.ajtas.20130202.15
AMA Style
E. Reschenhofer. Linear Scale Dilation of Asset Returns. Am J Theor Appl Stat. 2013;2(2):38-41. doi: 10.11648/j.ajtas.20130202.15
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Download@article{10.11648/j.ajtas.20130202.15,
author = {E. Reschenhofer},
title = {Linear Scale Dilation of Asset Returns},
journal = {American Journal of Theoretical and Applied Statistics},
volume = {2},
number = {2},
pages = {38-41},
doi = {10.11648/j.ajtas.20130202.15},
url = {https://doi.org/10.11648/j.ajtas.20130202.15},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ajtas.20130202.15},
abstract = {Comparing the order statistics of daily returns of the S&P 500 index from 03.01.1950 to 04.03.2013 with the corresponding rankits, a linear scale dilation is observed. This observation is used to derive a five-parameter density function for the parsimonious description of the unconditional distribution of stock returns. The typical graph of this density function looks like a wizard's hat. Its signature feature is the discontinuity at zero.},
year = {2013}
}
TY - JOUR T1 - Linear Scale Dilation of Asset Returns AU - E. Reschenhofer Y1 - 2013/04/02 PY - 2013 N1 - https://doi.org/10.11648/j.ajtas.20130202.15 DO - 10.11648/j.ajtas.20130202.15 T2 - American Journal of Theoretical and Applied Statistics JF - American Journal of Theoretical and Applied Statistics JO - American Journal of Theoretical and Applied Statistics SP - 38 EP - 41 PB - Science Publishing Group SN - 2326-9006 UR - https://doi.org/10.11648/j.ajtas.20130202.15 AB - Comparing the order statistics of daily returns of the S&P 500 index from 03.01.1950 to 04.03.2013 with the corresponding rankits, a linear scale dilation is observed. This observation is used to derive a five-parameter density function for the parsimonious description of the unconditional distribution of stock returns. The typical graph of this density function looks like a wizard's hat. Its signature feature is the discontinuity at zero. VL - 2 IS - 2 ER -
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