Stochastic Evolution of Distributions - Applications to CDS indices

Abstract : We use mixture of percentile functions to model credit spread evolution, which allows to obtain a flexible description of credit indices and their components at the same time. We show regularity results in order to extend mixture percentile to the dynamic case. We characterise the stochastic differential equation of the flow of cumulative distribution function and we link it with the ordered list of the components of the credit index. The main application is to introduce a functional version of Bollinger bands. The crossing of bands by the spread is associated with a trading signal. Finally, we show the richness of the signals produced by functional Bollinger bands compared with standard one with a pratical example.
Type de document :
Autre publication
Documents de travail du Centre d'Economie de la Sorbonne 2017.07 - ISSN : 1955-611X. 2017
Liste complète des métadonnées


https://halshs.archives-ouvertes.fr/halshs-01467736
Contributeur : Lucie Label <>
Soumis le : mardi 14 février 2017 - 16:28:12
Dernière modification le : jeudi 27 avril 2017 - 09:46:06
Document(s) archivé(s) le : lundi 15 mai 2017 - 18:01:59

Fichier

17007.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : halshs-01467736, version 1

Collections

Citation

Guillaume Bernis, Nicolas Brunel, Antoine Kornprobst, Simone Scotti. Stochastic Evolution of Distributions - Applications to CDS indices. Documents de travail du Centre d'Economie de la Sorbonne 2017.07 - ISSN : 1955-611X. 2017. <halshs-01467736>

Partager

Métriques

Consultations de
la notice

210

Téléchargements du document

91