BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//CERN//INDICO//EN
BEGIN:VEVENT
SUMMARY:Scale invariance in heavy tails of the S&P 500 stock index using t
 he fractional Laskin model
DTSTART;VALUE=DATE-TIME:20260414T221800Z
DTEND;VALUE=DATE-TIME:20260414T222500Z
DTSTAMP;VALUE=DATE-TIME:20260412T084648Z
UID:indico-contribution-333@fisindico.uniandes.edu.co
DESCRIPTION:Speakers: Oscar Fabio  Herrera  Marroquín (universidad nacion
 al de Colombia)\nIn this work\, we study the time scale invariance for the
  heavy tails of the minute log returns time series of the S&P 500 stock in
 dex for three different time periods (January 2011 – October 2015\, Nove
 mber 2015 – December 2019\, January 2020 – October 2023)\, considering
  minute\, hour\, and day time series for each case. Using the symmetric fr
 actional Laskin model\, which describes the dissipative effects of the fin
 ancial market through a shot noise type stochastic dissipative force that 
 is similar for positive and negative log returns\, we calculate the fittin
 g parameters of the heavy tails for each of the considered time periods an
 d for each of the studied time scales. We contrast these fitting parameter
 s with the power law exponents calculated for the high log returns time se
 ries (data above a certain threshold)\, for both positive and negative log
  returns\, showing the existence of asymmetry for each of the cases. The a
 symmetries found in the heavy tails are consistent with those observed thr
 ough the Lévy distribution fitting parameters of the low and medium time 
 series log returns.\n\nhttps://fisindico.uniandes.edu.co/event/23/contribu
 tions/333/
LOCATION:Universidad Nacional Edificio 564
URL:https://fisindico.uniandes.edu.co/event/23/contributions/333/
END:VEVENT
END:VCALENDAR