Textbook: Quest for Invariance in Financial Time Series
Risk and Asset Allocation, Springer 2005

    Published On 21/02/2011
    Author Name : 
    Attilio Meucci
    Published Date: 
    Friday, Apr 1, 2005
    Last Update: 
    Wednesday, Feb 20, 2008

    In this section we show how to process the information available in the market to determine the market invariants. The market invariants are random variables that are iid across time. Examples includes swap rates, log of stock return, log of change of implied volatility.