Levy models and long correlations applied to the study of exchange traded funds

  • Authors:

  • M. C. Mariani;J. D. Libbin;K. J. Martin;E. Ncheuguim;M. P. Beccar Varela;V. Kumar Mani;C. A. Erickson;D. J. Valles-Rosales

  • Affiliations:

  • Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM, USA;Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM, USA;Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM, USA;Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM, USA;Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM, USA;Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM, USA;Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM, USA;Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM, USA

  • Venue:
  • International Journal of Computer Mathematics - SPECIAL ISSUE ON FINANCIAL DERIVATIVES
  • Year:
  • 2009

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Abstract

This work is devoted to the study of statistical properties of Exchange Traded Funds (ETF). Some of the leading ETF in the market are analysed by using the Hurst and DFA methods to detect long range correlations, and the Levy models to describe the return distributions. It is concluded that the statistical behaviour of the ETF is very similar to the behaviour of the corresponding financial indices that they mimic.