Related papers: The fine-structure of volatility feedback I: multi…
This study addresses the computational challenges of forecasting volatility in high-dimensional commodity markets. Building on the Network log-ARCH framework, we introduce a novel class of network topologies from GARCH-informed correlation…
We investigate the time-varying ARCH (tvARCH) process. It is shown that it can be used to describe the slow decay of the sample autocorrelations of the squared returns often observed in financial time series, which warrants the further…
We perform a scaling analysis on NYSE daily returns. We show that volatility correlations are power-laws on a time range from one day to one year and, more important, that they exhibit a multiscale behaviour.
Traditional percolation theory assumes static microscopic rules, limiting its ability to describe real-world complex systems where macroscopic order actively regulates local interactions. Here, we introduce feedback percolation, an unified…
Recently artificial neural networks (ANNs) have seen success in volatility prediction, but the literature is divided on where an ANN should be used rather than the common GARCH model. The purpose of this study is to compare the volatility…
This paper introduces a multivariate spatiotemporal autoregressive conditional heteroscedasticity (ARCH) model based on a vec-representation. The model includes instantaneous spatial autoregressive spill-over effects in the conditional…
Fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) arises in modeling of financial time series. FIGARCH is essentially governed by a system of nonlinear stochastic difference equations ${u_t}$ =…
We exploit a continuous time random walk description of stock prices to obtain a fast and accurate evaluation of their volatility from intraday data. We show that financial markets are usefully described as open physical systems. Indeed we…
This paper addresses the challenge of integrating sequentially arriving data within the quantile regression framework, where the number of features is allowed to grow with the number of observations, the horizon is unknown, and memory is…
The problem of feedback control of quantum systems by means of weak measurements is investigated in detail. When weak measurements are made on a set of identical quantum systems, the single-system density matrix can be determined to a high…
In this work we investigate the generic properties of a stochastic linear model in the regime of high-dimensionality. We consider in particular the Vector AutoRegressive model (VAR) and the multivariate Hawkes process. We analyze both…
We consider the linear and quadratic higher order terms associated to the response of the statistical properties of a dynamical system to suitable small perturbations. These terms are related to the first and second derivative of the…
We investigate the two components of the total daily return (close-to-close), the overnight return (close-to-open) and the daytime return (open-to-close), as well as the corresponding volatilities of the 2215 NYSE stocks from 1988 to 2007.…
The quantile residual lifetime (QRL) regression is an attractive tool for assessing covariate effects on the distribution of residual life expectancy, which is often of interest in clinical studies. When the study subjects are exposed to…
In this manuscript, we analytically and numerically study statistical properties of an heteroskedastic process based on the celebrated ARCH generator of random variables whose variance is defined by a memory of $q_{m}$-exponencial, form…
Based on the invariance principle of differential equations, a simple adaptive-feedback scheme is proposed to strictly synchronize almost all chaotic systems. Unlike the usual linear feedback, the variable feedback strength is automatically…
Complex-valued signals are used in the modeling of many systems in engineering and science, hence being of fundamental interest. Often, random complex-valued signals are considered to be proper. A proper complex random variable or process…
With the daily and minutely data of the German DAX and Chinese indices, we investigate how the return-volatility correlation originates in financial dynamics. Based on a retarded volatility model, we may eliminate or generate the…
We investigate feedback forms for linear time-invariant systems described by differential-algebraic equations. Feedback forms are representatives of certain equivalence classes. For example state space transformations, invertible…
We develop a novel observation-driven model for high-frequency prices. We account for irregularly spaced observations, simultaneous transactions, discreteness of prices, and market microstructure noise. The relation between trade durations…