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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.

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.

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. 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
  • Total pages :229
  • ISBN : UCAL:B4482603
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Summary :

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.

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 :

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 :

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 :

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.

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 :

Materials Science and Information Technology

Materials Science and Information Technology
  • Author : Cai Suo Zhang
  • Publisher :Unknown
  • Release Date :2012-01-03
  • Total pages :8350
  • ISBN : 9783038137733
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Summary : These are the fully refereed proceedings of the International Conference on Materials Science and Information Technology (MSIT 2011), held during the 16-18 September 2011 in Singapore. The main goal of the event was to provide an international scientific forum for the exchange of new ideas in a number of fields by permitting in-depth interaction via discussions with peers from around the world. Core areas of materials science and information technology, plus multi-disciplinary and interdisciplinary aspects are covered. Volume is indexed by Thomson Reuters CPCI-S (WoS).

Wavelet Applications in Signal and Image Processing

Wavelet Applications in Signal and Image Processing
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2000
  • Total pages :229
  • ISBN : UOM:39015048232493
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Summary :

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 :

Mathematics of Complexity and Dynamical Systems

Mathematics of Complexity and Dynamical Systems
  • Author : Robert A. Meyers
  • Publisher :Unknown
  • Release Date :2011-10-05
  • Total pages :1858
  • ISBN : 9781461418054
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Summary : Mathematics of Complexity and Dynamical Systems is an authoritative reference to the basic tools and concepts of complexity, systems theory, and dynamical systems from the perspective of pure and applied mathematics. Complex systems are systems that comprise many interacting parts with the ability to generate a new quality of collective behavior through self-organization, e.g. the spontaneous formation of temporal, spatial or functional structures. These systems are often characterized by extreme sensitivity to initial conditions as well as emergent behavior that are not readily predictable or even completely deterministic. The more than 100 entries in this wide-ranging, single source work provide a comprehensive explication of the theory and applications of mathematical complexity, covering ergodic theory, fractals and multifractals, dynamical systems, perturbation theory, solitons, systems and control theory, and related topics. Mathematics of Complexity and Dynamical Systems is an essential reference for all those interested in mathematical complexity, from undergraduate and graduate students up through professional researchers.