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DTSTAMP:20260207T115955Z
DESCRIPTION:\n	Quantact\n\nClustered Lévy processes and their financial appl
 ications\n\nDonatien Hainaut\, Université Catholique Louvain\n\nThis work 
 contributes to the literature over time-changed processes in two direction
 s. Firstly\, this is the first thorough study of theoretical properties of
  Lé vy processes\, subordinated by a self-excited random clock. The proce
 ss observed on this new time scale\, called clustered Lévy process\, pres
 ents interesting features for financial modeling like stochastic volatilit
 y and grouped jumps. In this framework\, we infer analytical expressions f
 or the mean\, variance\, and a new parametric form of the moment generatin
 g function. A bivariate extension is also considered. Furthermore\, this a
 rticle introduces a class of exponential affine changes of measure and the
  necessary conditions to preserve the dynamics of clustered Lévy processe
 s under an equivalent measure. The second major contribution is empirical.
  A new particle filter is proposed so as to recover the market time scale 
 from a time series. And a method based on the numerical inversion of the m
 oment generating function is used to estimate parameters. Finally\, a nume
 rical analysis reveals that random clocks driving the S&P 500 and Eurostox
 x 50 indices are highly correlated to trading volumes.\n\nWeb site : http:
 //quantact.uqam.ca/index.html\n
DTSTART:20170407T180000Z
DTEND:20170407T180000Z
LOCATION:AA-5340\, CA\, QC\, Montreal\, H3T 1J4\, Pavillon André-Aisenstadt
 \, 2920\, Chemin de la tour\, 5th floor
SUMMARY:Donatien Hainaut\, Université Catholique Louvain
URL:/mathstat/channels/event/donatien-hainaut-universi
 te-catholique-louvain-267434
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