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

Figueiredo Neto, Annibal Dias de; Castro, Márcio Tavares de; Fonseca, Regina Célia Bueno da; Matsushita, Raul Yukihiro

Full metadata record

DC Field	Value	Language
dc.contributor.author	Figueiredo Neto, Annibal Dias de	-
dc.contributor.author	Castro, Márcio Tavares de	-
dc.contributor.author	Fonseca, Regina Célia Bueno da	-
dc.contributor.author	Matsushita, Raul Yukihiro	-
dc.date.accessioned	2021-10-15T17:31:08Z	-
dc.date.available	2021-10-15T17:31:08Z	-
dc.date.issued	2021	-
dc.identifier.citation	FIGUEIREDO NETO, Annibal et al. Using the Lévy sections to reduce risks in the buying strategies and asset sales that value in time. Communications in Nonlinear Science and Numerical Simulation, v. 104, 106023, jan. 2022. DOI: https://doi.org/10.1016/j.cnsns.2021.106023.	pt_BR
dc.identifier.uri	https://repositorio.unb.br/handle/10482/42141	-
dc.language.iso	Inglês	pt_BR
dc.publisher	Elsevier	pt_BR
dc.rights	Acesso Restrito	pt_BR
dc.title	Using the Lévy sections to reduce risks in the buying strategies and asset sales that value in time	pt_BR
dc.type	Artigo	pt_BR
dc.subject.keyword	Seções de Lévy	pt_BR
dc.subject.keyword	Compra e venda	pt_BR
dc.subject.keyword	Ativos financeiros	-
dc.identifier.doi	https://doi.org/10.1016/j.cnsns.2021.106023	pt_BR
dc.relation.publisherversion	https://www.sciencedirect.com/science/article/pii/S100757042100335X?via%3Dihub	pt_BR
dc.description.abstract1	Previously, 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.	pt_BR
Appears in Collections:	Artigos publicados em periódicos e afins