Statistical Finance
It is important for a portfolio manager to estimate and analyze recent portfolio volatility to keep the portfolio's risk within limit. Though the number of financial instruments in the portfolio can be very large, sometimes more than…
We empirically analyze the price and liquidity responses to trade signs, traded volumes and signed traded volumes. Utilizing the singular value decomposition, we explore the interconnections of price responses and of liquidity responses…
Previous literature has identified an effect, dubbed the Zumbach effect, that is nonzero empirically but conjectured to be zero in any conventional stochastic volatility model. Essentially this effect corresponds to the property that past…
For a GJR-GARCH specification with a generic innovation distribution we derive analytic expressions for the first four conditional moments of the forward and aggregated returns and variances. Moment for the most commonly used GARCH models…
Several studies explore inferences based on stochastic volatility (SV) models, taking into account the stylized facts of return data. The common problem is that the latent parameters of many volatility models are high-dimensional and…
Multiplicative random cascade model naturally reproduces the intermittency or multifractality, which is frequently shown among hierarchical complex systems such as turbulence and financial markets. As described herein, we investigate the…
Cryptocurrency is a well-developed blockchain technology application that is currently a heated topic throughout the world. The public availability of transaction histories offers an opportunity to analyze and compare different…
Methods for detecting structural changes, or change points, in time series data are widely used in many fields of science and engineering. This chapter sketches some basic methods for the analysis of structural changes in time series data.…
Although the threshold network is one of the most used tools to characterize the underlying structure of a stock market, the identification of the optimal threshold to construct a reliable stock network remains challenging. In this paper,…
In this paper, we give a general time-varying parameter model, where the multidimensional parameter possibly includes jumps. The quantity of interest is defined as the integrated value over time of the parameter process $\Theta = T^{-1}…
We solved a stylized fact on a long memory process of volatility cluster phenomena by using Minkowski metric for GARCH(1,1) under assumption that price and time can not be separated. We provide a Yang-Mills equation in financial market and…
This paper discusses the dynamics of intraday prices of twelve cryptocurrencies during last months' boom and bust. The importance of this study lies on the extended coverage of the cryptoworld, accounting for more than 90\% of the total…
Trend and Value are pervasive anomalies, common to all financial markets. We address the problem of their co-existence and interaction within the framework of Heterogeneous Agent Based Models (HABM). More specifically, we extend the…
US Yield curve has recently collapsed to its most flattened level since subprime crisis and is close to the inversion. This fact has gathered attention of investors around the world and revived the discussion of proper modeling and…
Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has always presented challenging issues and provided interesting…
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…
--- the companies populating a Stock market, along with their connections, can be effectively modeled through a directed network, where the nodes represent the companies, and the links indicate the ownership. This paper deals with this…
Based on the Log-Periodic Power Law (LPPL) methodology, with the universal preferred scaling factor $\lambda \approx 2$, the negative bubble on the oil market in 2014-2016 has been detected. Over the same period a positive bubble on the so…
This article demonstrates the possibility of constructing indicators of critical and crisis phenomena in the volatile market of cryptocurrency. For this purpose, the methods of the theory of complex systems such as recurrent analysis of…