Identification of Atlas models

TL;DR

This paper presents a method to identify parameters of Atlas models, which are systems of rank-dependent Ito processes, by analyzing the variance of the top-ranked process over various sampling intervals.

Contribution

The paper introduces a novel approach to parameter identification in Atlas models using variance measurements at different sampling intervals.

Findings

Parameters can be identified from variance measurements.

Method applies to simple Atlas models.

Effective for different sampling intervals.

Abstract

Atlas models are systems of Ito processes with parameters that depend on rank. We show that the parameters of a simple Atlas model can be identified by measuring the variance of the top-ranked process for different sampling intervals.