April 17, 2021

Download Ebook Free Multifractal Volatility

Multifractal Volatility

Multifractal Volatility
Author : Laurent E. Calvet,Adlai J. Fisher
Publisher : Academic Press
Release Date : 2008-10-13
Category : Business & Economics
Total pages :272
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Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. Presents a powerful new technique for forecasting volatility Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research

FOREASTING MULTIFRACTAL VOLATILITY

FOREASTING MULTIFRACTAL VOLATILITY
Author : Laurent CALVET
Publisher : Unknown
Release Date : 2000
Category :
Total pages :129
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Research on Volatility and Contagion Effect in Stock Market

Research on Volatility and Contagion Effect in Stock Market
Author : Dexiang Mei,Wang Chen,Yunyun Sun
Publisher : Scientific Research Publishing, Inc. USA
Release Date : 2020-12-06
Category : Art
Total pages :131
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The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes the following four parts.

Multifractal Based Network Traffic Modeling

Multifractal Based Network Traffic Modeling
Author : Murali Krishna P,Vikram M. Gadre,Uday B. Desai
Publisher : Springer Science & Business Media
Release Date : 2012-12-06
Category : Technology & Engineering
Total pages :210
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This helpful book provides an overview of existing broadband traffic modelling based on the Poisson process and its variants. It also offers very good coverage of models based on self-similar processes. The authors have focused throughout on the problem of broadband traffic modelling.

The Oxford Handbook of Computational Economics and Finance

The Oxford Handbook of Computational Economics and Finance
Author : Shu-Heng Chen,Mak Kaboudan,Ye-Rong Du
Publisher : Oxford University Press
Release Date : 2018-01-12
Category : Business & Economics
Total pages :784
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The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.

A Markov-switching Multifractal Approach to Forecasting Realized Volatility

A Markov-switching Multifractal Approach to Forecasting Realized Volatility
Author : Thomas Lux,Leonardo Morales-Arias,Cristina Sattarhoff
Publisher : Unknown
Release Date : 2011
Category :
Total pages :48
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Volatility Comovement

Volatility Comovement
Author : Laurent E. Calvet,Adlai J. Fisher,Samuel B. Thompson
Publisher : Unknown
Release Date : 2004
Category : Economics
Total pages :40
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We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar durations are strongly correlated across series. This motivates a bivariate extension of the Markov-Switching Multifractal (MSM) introduced in Calvet and Fisher (2001, 2004). Bivariate MSM is a stochastic volatility model with a closed-form likelihood. Estimation can proceed by ML for state spaces of moderate size, and by simulated likelihood via a particle filter in high-dimensional cases. We estimate the model and confirm its main assumptions in likelihood ratio tests. Bivariate MSM compares favorably to a standard multivariate GARCH both in- and out-of-sample. We extend the model to multivariate settings with a potentially large number of assets by proposing a parsimonious multifrequency factor structure.

Noise and Fluctuations in Econophysics and Finance

Noise and Fluctuations in Econophysics and Finance
Author : Derek Abbott
Publisher : Society of Photo Optical
Release Date : 2005
Category : Business & Economics
Total pages :348
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Proceedings of SPIE present the original research papers presented at SPIE conferences and other high-quality conferences in the broad-ranging fields of optics and photonics. These books provide prompt access to the latest innovations in research and technology in their respective fields. Proceedings of SPIE are among the most cited references in patent literature.

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets
Author : Alain Chaboud
Publisher : Unknown
Release Date : 2008
Category : Bond market
Total pages :46
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Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. We find that one can sample FX returns as frequently as once every 15 to 20 seconds without contaminating volatility estimates; bond returns may be sampled as frequently as once every 2 to 3 minutes on days without U.S. macroeconomic announcements, and as frequently as once every 40 seconds on announcement days. With a simple realized kernel estimator, the sampling frequencies can be increased to once every 2 to 5 seconds for FX returns and to about once every 30 to 40 seconds for bond returns. These sampling frequencies, especially in the case of FX returns, are much higher than those often recommended in the empirical literature on realized volatility in equity markets. The higher sampling frequencies for FX and bond returns likely reflects the superior depth and liquidity of these markets.

Journal of Econometrics

Journal of Econometrics
Author : Anonim
Publisher : Unknown
Release Date : 2001
Category : Econometrics
Total pages :129
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The Journal of the Korean Physical Society

The Journal of the Korean Physical Society
Author : Anonim
Publisher : Unknown
Release Date : 2008
Category : Physics
Total pages :129
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Israel Journal of Earth Sciences

Israel Journal of Earth Sciences
Author : Anonim
Publisher : Unknown
Release Date : 2007
Category : Geology
Total pages :129
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Are Multifractal Processes Suited to Forecasting Electricity Price Volatility?

Are Multifractal Processes Suited to Forecasting Electricity Price Volatility?
Author : Mawuli Segnon,Chi Keung Lau,Bernd Wilfling,Rangan Gupta
Publisher : Unknown
Release Date : 2017
Category :
Total pages :129
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Complexity in Economics: Macroeconomics, financial markets, and international economics

Complexity in Economics: Macroeconomics, financial markets, and international economics
Author : John Barkley Rosser
Publisher : Unknown
Release Date : 2004
Category : Complexity (Philosophy)
Total pages :129
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Emerging Markets Finance & Trade

Emerging Markets Finance & Trade
Author : Anonim
Publisher : Unknown
Release Date : 2003
Category : Balkan Peninsula
Total pages :129
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