Modeling Dependence between Financial Characteristics via Multivariate Stable Processes

In this work, we consider the newly introduced measure of independence for multivariate stable distributions and its application to the stochastic processes. This study continues our previous course paper regarding modeling stable distributions via the spectral measure. Hence, the approach to estimating the latter is one of the steps in our current paper. In the first chapter of this thesis, we summarize the key facts of the theory of stable distributions necessary for our work. Next, in the second chapter, we build a quantitative method and the R program to estimate the measure of independence which, unlike conventional tools, accounts for specific features of the stable distribution. Moreover, we fill some gaps in the theory of the measure, because this approach is rather new and has not been fully developed. In addition to this, our R program can be useful for the new method of financial characteristics' simulation that can be applied to real-world problems.