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B1833
Title: On the mean of log-returns random distributions Authors:  Ilia Naumkin - IIMAS (Mexico) [presenting]
Ramses Mena - Universidad Nacional Autonoma De Mexico (Mexico)
Abstract: The study of the distribution of means of random probability measures has received considerable attention from the theoretical viewpoint during the last 30 years. However, the mathematical complexity inherent to such random objects has prevented them from reaching real applications successfully. We present a novel mechanism to efficiently compute the moments of such random means; specifically, we focus on Gibbs-type nonparametric priors. The motivation behind our proposal lies in the study of log-returns distributions of assets in financial markets, which we model via random distributions.