18 papers · ranked by Valyu relevance
Xianfei Hui, Baiqing Sun, Yan Zhou
The problem related to predicting dynamic volatility in financial market plays a crucial role in many contexts. We build a new generalized Barndorff-Nielsen and Shephard (BN-S) model suitable for uncertain environment with fuzziness and randomness. This new model considers the delay phenomenon between price fluctuation…
Axel Hutt, Scott Rich, Taufik A Valiante, Jérémie Lefebvre
Heterogeneity is the norm in biology. The brain is no different: neuronal cell-types are myriad, reflected through their cellular morphology, type, excitability, connectivity motifs and ion channel distributions. While this biophysical diversity enriches neural systems’ dynamical repertoire, it remains challenging to…
Patrick Woitschig, Mike West
We present a new class of Bayesian dynamic models for bivariate price-realized volatility time series in financial forecasting. A novel dynamic gamma process model adopted for realized volatility is integrated with traditional Bayesian dynamic linear models (DLMs) for asset price series. This represents reduced-form…
Jiang-Cheng Li, Jin Guo, Rui Ma, Guangyan Zhong + 1 more
Synchronization, which has been a common natural phenomenon, occurs frequently in complex financial systems and is an important contagion mechanism for systemic financial risks and even financial crises. In view of this, we construct a coupled stochastic volatility model and its volatility synchronization analysis…
Xianfei Hui, Baiqing Sun, Yan Zhou, Indranil SenGupta
This paper models stochastic process of price time series of CS I300 index in Chinese financial market, analyzes volatility characteristics of intraday high-frequency price data. In the new generalized Barndorff-Nielsen and Shephard model, the lag caused by asynchrony of market information and market microstructure…
Igor Martins, Hedibert Freitas Lopes, Nikolay Kolev Vitanov
This paper expands traditional stochastic volatility models by allowing for time-varying skewness without imposing it. While dynamic asymmetry may capture the likely direction of future asset returns, it comes at the risk of leading to overparameterization. Our proposed approach mitigates this concern by leveraging…
Gabriele Casto
Volatility plays a central role in modern portfolio theory, as it is the dominant measure for quantifying financial risk. Since Markowitz's initial work in 1952 (Markowitz, 1952), portfolio optimization has been based on the assumption that asset returns belong to the family of elliptical distributions, so that the…
Jozef Baruník, Lukáš Vácha
Persistence Authors: ['Jozef Baruník' 'Lukáš Vácha'] Time variation and persistence are crucial properties of volatility that are often studied separately in oil-based volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary smoothly over time, and thus…
Waqas Hanif, Hee-Un Ko, Linh Pham, Sang Hoon Kang
This study examines the connectedness in high-order moments between cryptocurrency, major stock (U.S., U.K., Eurozone, and Japan), and commodity (gold and oil) markets. Using intraday data from 2020 to 2022 and the time and frequency connectedness models of Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012) and…
Rémi Genet
The execution of Volume Weighted Average Price (VWAP) orders remains a critical challenge in modern financial markets, particularly as trading volumes and market complexity continue to increase. In my previous work [[1]], I introduced a novel deep learning approach that demonstrated significant improvements over…
Gargi Majumdar, Fahd Yazin, Arpan Banerjee, Dipanjan Roy
Understanding the mechanisms behind the variability of neural signals holds the key to the characterization of developmental and lifespan aging trajectories. Here we propose that tracking temporally structured neural fluctuations or volatility in brain areas during naturalistic tasks provides a more salient…
Erniel B. Barrios, Paolo Victor T. Redondo
Contagion arising from clustering of multiple time series like those in the stock market indicators can further complicate the nature of volatility, rendering a parametric test (relying on asymptotic distribution) to suffer from issues on size and power. We propose a test on volatility based on the bootstrap method for…
D. Tuzsus, I. Pappas, J. Peters
Natural environments often exhibit various degrees of volatility, ranging from slowly changing to rapidly changing contingencies. How learners adapt to changing environments is a central issue in both reinforcement learning theory and psychology. For example, learners may adapt to changes in volatility by increasing…
Shiva Zamani, Alireza Moslemi Haghighi, Hamid R. Arian
This study delves into the intricate realm of risk evaluation within the domain of specific financial derivatives, notably options. Unlike other financial instruments, like bonds, options are susceptible to broader risks. A distinctive trait characterizing this category of instruments is their non-linear price behavior…
Zhihao Wang, Tian Nan, Katharina S. Goerlich, Yiman Li + 3 more
Humans are able to adapt to the fast-changing world by estimating statistical regularities of the environment. Although fear can profoundly impact adaptive behaviors, the neural mechanisms underlying this phenomenon remain elusive. Here, we conducted a behavioral experiment (n = 21) and a functional magnetic resonance…
Fahim Afzal, Haiying Pan, Farman Afzal, Rana Faizan Gul
There exists a potential interdependence among the United States markets, alongside an exceptional dependence on the East Asian stock markets. This transmission of risks is similarly evident in funds that are traded within markets. The current study seeks to uncover the pathways of risk contagion among various…
Brónagh McCoy, Rebecca P. Lawson
Anxiety is known to alter learning in uncertain environments. Standard experimental paradigms and computational models addressing these differences have mainly assessed the impact of volatility, and anxious individuals have been shown to have a reduced learning rate when moving from a stable to volatile environment.…
Gabriel Braun, Itamar Borges Jr., Adelia A. J. Aquino, Hans Lischka + 5 more
Pyrene fluorescence after a high-energy electronic excitation exhibits a prominent band shoulder not present after excitation at low energies. The standard assignment of this shoulder as a non-Kasha emission from the second-excited state (S2) has been recently questioned. To elucidate this issue, we simulated the…