Feeds:
Posts

## THE TIME-CHANGE OF FINANCE FOR PETER CLARK’S 1971 SUBORDINATION

Peter-Clark-SubordinatedProcess1971

What progress is easily possible for the subordination idea.  We now know the answer, which is that the waiting time for volatility shocks is modeled well by Mittag-Leffler functions.  The following graph gives the $EN(t)$ of actual volatility shock distribution across 1900 stocks and gives concreteness to the renewal time needed for the Peter Clark approach to finance.

One issue that can be resolved is the failure of the Central Limit Theorem.

uchaikin-cahoy-sibatov-2010