Levy models and long correlations applied to the study of exchange traded funds

M. C. Mariani Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM, USACorrespondence[email protected]

J. D. Libbin Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM, USA

K. J. Martin Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM, USA

E. Ncheuguim Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM, USA

M. P. Beccar Varela Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM, USA

V. Kumar Mani Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM, USA

C. A. Erickson Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM, USA

D. J. Valles-Rosales Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM, USA

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Abstract

This work is devoted to the study of statistical properties of Exchange Traded Funds (ETF). Some of the leading ETF in the market are analysed by using the Hurst and DFA methods to detect long range correlations, and the Levy models to describe the return distributions. It is concluded that the statistical behaviour of the ETF is very similar to the behaviour of the corresponding financial indices that they mimic.

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Acknowledgements

The authors are especially grateful to the anonymous referees for the careful reading of the manuscript and the fruitful remarks. This work has been partially supported by the Economic Development Administration (U.S. Department of Commerce), ADVANCE – NSF, and Minigrant College of Arts & Sciences, NMSU.

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