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摘要翻译：
虽然波动性的使用在整个金融领域都很普遍，但我们确定股票瞬时波动性的能力才刚刚起步。在这里，我们提出了一种度量股票时间行为的方法，并证明了24只DJIA股票的股票价格遵循一个描述有效定价股票的随机过程，同时使用一个随时间确定变化的波动率。我们发现经常观察到的异常大的峰度是由于波动率的时间变化。我们的方法可以解决波动性的变化和股票漂移的速度为一天使用每日收盘价。
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英文标题：
《Volatilities That Change with Time: The Temporal Behavior of the
Distribution of Stock-Market Prices》
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作者：
Achilles D. Speliotopoulos
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
While the use of volatilities is pervasive throughout finance, our ability to determine the instantaneous volatility of stocks is nascent. Here, we present a method for measuring the temporal behavior of stocks, and show that stock prices for 24 DJIA stocks follow a stochastic process that describes an efficiently priced stock while using a volatility that changes deterministically with time. We find that the often observed, abnormally large kurtoses are due to temporal variations in the volatility. Our method can resolve changes in volatility and drift of the stocks as fast as a single day using daily close prices.
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PDF链接：
https://arxiv.org/pdf/1007.5274
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