16 papers · ranked by Valyu relevance
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…
Nicolás Magner, Jaime F. Lavin, Mauricio Valle, Nicolás Hardy + 1 more
'J E. Trinidad Segovia'] We explore the use of implied volatility indices as a tool for estimate changes in the synchronization of stock markets. Specifically, we assess the implied stock market’s volatility indices’ predictive power on synchronizing global equity indices returns. We built the correlation network of 26…
Naji Massad, Jørgen Vitting Andersen
- 1 Centre d'Economie de la Sorbonne, Université Paris 1 Pantheon-Sorbonne, Maison des Sciences Economiques, 106-112 Boulevard de l'Hôpital, 75647 Paris, CEDEX 13, France; najimassaad@hotmail.com - 2 CNRS and Centre d'Economie de la Sorbonne, Université Paris 1 Pantheon-Sorbonne, Maison des Sciences Economiques…
Nicolas S. Magner, Nicolás Hardy, Jaime Lavin, Tiago Ferreira + 4 more
'Irena Vodenska' 'Carolina Mattsson' 'Paolo Barucca' 'Giulio Cimini'] This paper shows that some commodity currencies (from Chile, Iceland, Norway, South Africa, Australia, Canada, and New Zealand) predict the synchronization of metals and energy commodities. This relationship links the present-value theory for…
Der Chyan Lin, Francesco Pappalardo
We propose phase-like characteristics in scale-free broadband processes and consider fluctuation synchrony based on the temporal signature of significant amplitude fluctuation. Using wavelet transform, successful captures of similar fluctuation pattern between such broadband processes are demonstrated. The application…
Richard Y. Chen
We study the volatility functional inference by Fourier transforms. This spectral framework is advantageous in that it harnesses the power of harmonic analysis to handle missing data and asynchronous observations without any artificial time alignment nor data imputation. Under conditions, this spectral approach is…
Jake J. Xia
A general model for synchronized crowding behavior is proposed for understanding and forecasting market instability, drawing similarities from examples such as wildebeests' herding and bridge swaying. Interaction among agents is described as a feedback loop linking individual agent's decision and observation, with…
Austin Gerig
High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now accounts for nearly one-half of all trades. Although evidence suggests that HFT contributes to the efficiency of markets, there are concerns it…
Oleh Danyliv, Bruce Bland
Working on different aspects of algorithmic trading we empirically discovered a new market invariant. It links together the volatility of the instrument with its traded volume, the average spread and the volume in the order book. The invariant has been tested on different markets and different asset classes. In all…
Haochen Li, Yue Xiao, Maria Polukarov, Carmine Ventre + 4 more
'Andreia Dionísio' 'Paulo Ferreira' 'Dora Almeida' 'Isabel Vieira'] This study bridges finance and physics by applying thermodynamic concepts to model the limit order book (LOB) with high-frequency trading data on the Bitcoin spot. We derive the measures of Market Temperature and Market Entropy from the kinetic and…
Lucio Fiorin
| 1 | Estimation of Historical volatility | | 3 | | --- | --- | --- | --- | | | 1.1 | Introduction | 3 | | | 1.2 | First assumptions | 4 | | | 1.3 | Volatility estimators | 5 | | | 1.3.1 | Moving Average | 5 | | | 1.3.2 | Autoregressive models | 5 | | | 1.3.3 | Modification of the GARCH model | 7 | | | 1.3.4 | Advanced…
Jenni Leppanen, Henry Stone, David J. Lythgoe, Steven Williams + 1 more
Functional resonance magnetic imaging (fMRI) noise is usually assumed to have constant volatility. However this assumption has been recently challenged in a few studies examining heteroscedasticity arising from head motion and physiological noise. However, to our knowledge no studies have studied heteroscedasticity in…
Fabian Woebbeking
By computing a volatility index (CVX) from cryptocurrency option prices, we analyze this market’s expectation of future volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable market implied volatilities. Two alternative methods are considered to…
Payam Piray, Nathaniel D. Daw
Influential research in computational neuroscience has stressed the importance of uncertainty for controlling the speed of learning, and of volatility, i.e. the inferred rate of change, in this process. Here, we investigate a neglected feature of these models: learning rates are jointly determined by the comparison…
Supravat Dey, Lee Tracey, Abhyudai Singh
Living cells encode diverse biological clocks for circadian timekeeping and formation of rhythmic structures during embryonic development. A key open question is how these clocks synchronize across cells through intercellular coupling mechanisms. To address this question, we leverage the classical motif for genetic…
Priyanka Chakraborty, Shubham Kumar, Amit Naskar, Arpan Banerjee + 1 more
Both healthy and pathological aging exhibits gradual deterioration of structure but in-terestingly in healthy aging adults often maintains a high level of cognitive performance in a variety of cognitively demanding task till late age. What are the relevant network measures that could possibly track these dynamic…