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Multifractal Volatility

Multifractal Volatility
  • Author : Laurent E. Calvet,Adlai J. Fisher
  • Publisher :Unknown
  • Release Date :2008-10-13
  • Total pages :272
  • ISBN : 0080559964
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Summary : 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
  • Total pages :229
  • ISBN : OCLC:1192800286
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Summary :

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 :Unknown
  • Release Date :2020-12-06
  • Total pages :131
  • ISBN : 9781649970534
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Summary : 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 :Unknown
  • Release Date :2012-12-06
  • Total pages :210
  • ISBN : 9781461504993
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Summary : 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 :Unknown
  • Release Date :2018-01-12
  • Total pages :784
  • ISBN : 9780190877507
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Summary : 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
  • Total pages :48
  • ISBN : OCLC:757537812
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Summary :

Volatility Comovement

Volatility Comovement
  • Author : Laurent E. Calvet,Adlai J. Fisher,Samuel B. Thompson
  • Publisher :Unknown
  • Release Date :2004
  • Total pages :40
  • ISBN : UCSC:32106017788453
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Summary : 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.

Israel Journal of Earth Sciences

Israel Journal of Earth Sciences
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2007
  • Total pages :229
  • ISBN : CHI:81570558
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Summary :

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
  • Total pages :46
  • ISBN : IND:30000117519045
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Summary : "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. Using volatility signature plots and a recently-proposed formal decision rule to select the sampling frequency, 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. We suggest that the generally superior depth and liquidity of trading in FX and government bond markets contributes importantly to this difference"--Federal Reserve Board web site.

Noise and Fluctuations in Econophysics and Finance

Noise and Fluctuations in Econophysics and Finance
  • Author : Derek Abbott
  • Publisher :Unknown
  • Release Date :2005
  • Total pages :348
  • ISBN : UOM:39015061015049
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Summary : 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.

Journal of Econometrics

Journal of Econometrics
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2001
  • Total pages :229
  • ISBN : UCAL:B4482603
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Summary :

Corporate Finance

Corporate Finance
  • Author : Pierre Vernimmen,Pascal Quiry,Maurizio Dallocchio,Yann Le Fur,Antonio Salvi
  • Publisher :Unknown
  • Release Date :2014-10-09
  • Total pages :1000
  • ISBN : 9781118849293
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Summary : Merging theory and practice into a comprehensive,highly-anticipated text Corporate Finance continues its legacy as one of the mostpopular financial textbooks, with well-established content from adiverse and highly respected author team. Unique in its features,this valuable text blends theory and practice with a direct,succinct style and commonsense presentation. Readers will beintroduced to concepts in a situational framework, followed by adetailed discussion of techniques and tools. This latest editionincludes new information on venture finance and debt structuring,and has been updated throughout with the most recent statisticaltables. The companion website provides statistics, graphs, charts,articles, computer models, and classroom tools, and the freemonthly newsletter keeps readers up to date on the latesthappenings in the field. The authors have generously madethemselves available for questions, promising an answer inseventy-two hours. Emphasizing how key concepts relate to real-world situations iswhat makes Corporate Finance a valuable reference with realrelevance to the professional and student alike. Readers will gaininsight into the methods and tools that shape the industry,allowing them to: Analyze investments with regard to hurdle rates, cash flows,side costs, and more Delve into the financing process and learn the tools andtechniques of valuation Understand cash dividends and buybacks, spinoffs, anddivestitures Explore the link between valuation and corporate finance As the global economy begins to recover, access to the mostcurrent information and statistics will be required. To remainrelevant in the evolving financial environment, practitioners willneed a deep understanding of the mechanisms at work. CorporateFinance provides the expert guidance and detailed explanationsfor those requiring a strong foundational knowledge, as well asmore advanced corporate finance professionals.

The Journal of the Korean Physical Society

The Journal of the Korean Physical Society
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2008
  • Total pages :229
  • ISBN : CHI:82281512
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Summary :

The Illustrated Wavelet Transform Handbook

The Illustrated Wavelet Transform Handbook
  • Author : Paul S Addison
  • Publisher :Unknown
  • Release Date :2002-07-15
  • Total pages :368
  • ISBN : 1420033395
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Summary : The Illustrated Wavelet Transform Handbook: Introductory Theory and Applications in Science, Engineering, Medicine and Finance provides an overview of the theory and practical applications of wavelet transform methods. The author uses several hundred illustrations, some in color, to convey mathematical concepts and the results of applications. The first chapter presents a brief overview of the wavelet transform, including a short history. The remainder of the book is split into two parts: the first part discusses the mathematics of both discrete and continuous wavelet transforms while the second part deals with applications in a variety of subject areas, such as geophysics, medicine, fluid turbulence, engineering testing, speech and sound analysis, image analysis, and data compression. These application chapters make the reader aware of the similarities that exist in the use of wavelet transform analysis across disciplines. A comprehensive list of more than 700 references provides a valuable resource for further study. The book is designed specifically for the applied reader in science, engineering, medicine, finance, or any other of the growing number of application areas. Newcomers to the subject will find an accessible and clear account of the theory of continuous and discrete wavelet transforms, providing a large number of examples of their use across a wide range of disciplines. Readers already acquainted with wavelets can use the book to broaden their perspective.

Multifractal Financial Markets

Multifractal Financial Markets
  • Author : Yasmine Hayek Kobeissi
  • Publisher :Unknown
  • Release Date :2012-07-23
  • Total pages :128
  • ISBN : 9781461444909
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Summary : Multifractal Financial Markets ​explores appropriate models for estimating risk and profiting from market swings, allowing readers to develop enhanced portfolio management skills and strategies. Fractals in finance allow us to understand market instability and persistence. When applied to financial markets, these models produce the requisite amount of data necessary for gauging market risk in order to mitigate loss. This brief delves deep into the multifractal market approach to portfolio management through real-world examples and case studies, providing readers with the tools they need to forecast profound shifts in market activity.

Perspectives in Quantum Field Theory, Statistical Mechanics and Stochastics

Perspectives in Quantum Field Theory, Statistical Mechanics and Stochastics
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2004
  • Total pages :7
  • ISBN : UCSD:31822033356320
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Summary :

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
  • Total pages :229
  • ISBN : UOM:39015059117161
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Summary :

Social sciences index

Social sciences index
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2001
  • Total pages :229
  • ISBN : UCAL:B5121553
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Summary :

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
  • Total pages :229
  • ISBN : OCLC:1075138640
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Summary :

Emerging Markets Finance & Trade

Emerging Markets Finance & Trade
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2003
  • Total pages :229
  • ISBN : UOM:39015057939038
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Summary :

The (Mis)Behaviour of Markets

The (Mis)Behaviour of Markets
  • Author : Benoit B. Mandelbrot,Richard L. Hudson
  • Publisher :Unknown
  • Release Date :2010-10-01
  • Total pages :352
  • ISBN : 9781847651556
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Summary : This international bestseller, which foreshadowed a market crash, explains why it could happen again if we don't act now. Fractal geometry is the mathematics of roughness: how to reduce the outline of a jagged leaf or static in a computer connection to a few simple mathematical properties. With his fractal tools, Mandelbrot has got to the bottom of how financial markets really work. He finds they have a shifting sense of time and wild behaviour that makes them volatile, dangerous - and beautiful. In his models, the complex gyrations of the FTSE 100 and exchange rates can be reduced to straightforward formulae that yield a much more accurate description of the risks involved.