R
R. A. Serota
Researcher at University of Cincinnati
Publications - 86
Citations - 1114
R. A. Serota is an academic researcher from University of Cincinnati. The author has contributed to research in topics: Mesoscopic physics & Magnetic field. The author has an hindex of 12, co-authored 84 publications receiving 1062 citations. Previous affiliations of R. A. Serota include Massachusetts Institute of Technology.
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Journal ArticleDOI
Distributions of historic market data – stock returns
TL;DR: This article showed that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-law tails of volatility and stock returns.
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Implied and Realized Volatility: A Study of the Ratio Distribution
M. Dashti Moghaddam,R. A. Serota +1 more
TL;DR: In this article, the authors analyzed correlations between squared volatility indices, VIX and VXO, and realized variances, and showed that the ratio of the two is best fitted by a Beta Prime distribution.
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Level Correlations in Integrable Systems
TL;DR: In this article, a simple analytical expression for the level correlation function of an integrable system is derived, which accounts for both the lack of correlations at smaller energy scales and for global rigidity (level number conservation) at larger scales.
Journal Article
Modeling Response Time with Power Law Distributions.
TL;DR: This article overviews several contemporary models that assume power law scaling is a plausible description of the skewed right tails that are typical of response time distributions and techniques for contrasting response time measurements are illustrated.
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Resistance distribution function for fluctuating variable-range hopping conduction.
J Yu,R. A. Serota +1 more
TL;DR: On montre que la fonction de distribution du logarithme de la resistance pour la conduction par sauts a distance variable dans des filaments finis a une dimension, peut etre ajustee soit par une distribution gaussienne inverse, soitPar une distribution log-normal.