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Article
Market Symmetry in Time Changed Brownian Models
Finance Research Letters (2010)
  • José Fajardo
  • Ernesto Mordecki
Abstract

In this paper we examine which Brownian subordination with drift exhibits the symmetry property introduced by Fajardo and Mordecki [2006. Quantitative Finance 6, 219–227]. We find that when the subordination results in a Lévy process, a necessary and sufficient condition for the symmetry to hold is that the drift must be equal to-1/2. Also, we derive explicit conditions to test whether the NIG, CGMY and Meixner processes are symmetric or not. Finally, we perform some tests with real financial data.

Disciplines
Publication Date
Winter March, 2010
Citation Information
José Fajardo and Ernesto Mordecki. "Market Symmetry in Time Changed Brownian Models" Finance Research Letters Vol. 7 Iss. 1 (2010)
Available at: http://works.bepress.com/pepe/14/