Related papers: Leverage effect in energy futures
This contribution is a brief introduction to nonthermal effects related to modifications of the interatomic potential upon ultrafast excitation of the electronic system of solids, primarily focusing on the swift heavy ion track problem. We…
This study presents contemporaneous modeling of asset return and price range within the framework of stochastic volatility with leverage. A new representation of the probability density function for the price range is provided, and its…
We empirically investigated the relationships between the degree of efficiency and the predictability in financial time-series data. The Hurst exponent was used as the measurement of the degree of efficiency, and the hit rate calculated…
The logistic function is used to forecast energy consumed worldwide and oil production in the U.S. The logistic substitution model is used to describe the energy mix since 1965 presenting a picture significantly different from the one…
Coupling effects among different physical fields substantially reflect the conversion of energies from one form into another. For simple physical processes, their governing or constitutive equations all satisfy the law of conservation of…
In relativistic heavy-ion collisions, properties of the initial state and effects arising during evolution of the medium, such as a transition between the hadronic and partonic phases, should reflect themselves in event-by-event…
It has been recently shown that spot volatilities can be very well modeled by rough stochastic volatility type dynamics. In such models, the log-volatility follows a fractional Brownian motion with Hurst parameter smaller than 1/2. This…
Nonequilibrium systems exchange the energy with an environment in the form of work and heat. The work done on a system obeys the fluctuation theorem, while the dissipated heat which differs from the work by the internal energy change does…
The correlation energy of the homogeneous three-dimensional interacting electron gas is calculated using the variational and fixed-node diffusion Monte Carlo methods, with trial functions that include backflow and three-body correlations.…
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of two possibly correlated assets: one liquid and one illiquid. The liquid asset is observed and can be traded continuously, while the…
This article presents a generic hybrid numerical method to price a wide range of options on one or several assets, as well as assets with stochastic drift or volatility. In particular for equity and interest rate hybrid with local…
The scaling properties of oil price fluctuations are described as a non-stationary stochastic process realized by a time series of finite length. An original model is used to extract the scaling exponent of the fluctuation functions within…
Ferrous metal futures have become unique commodity futures with Chinese characteristics. Due to the late listing time, it has received less attention from scholars. Our research focuses on the volatility spillover effects, defined as the…
In February 2018, the VIX index has seen its largest ever increase and has lead to significant losses for some major volatility related products. Despite many efforts, the precise underlying reasons are yet to be discovered. We study the…
It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect. We derive the asymptotic behaviour of the squared residuals autocovariances for the class…
Strong correlations between equilibrium fluctuations of the configurational parts of pressure and energy are found in the Lennard-Jones liquid and other simple liquids, but not in hydrogen-bonding liquids like methanol and water. The…
We investigate heat transport via a charged flexible chain in the presence of magnetic fields. We focus on the Nernst-like effect, where the average positions of particles deviate in the perpendicular direction to the heat flow. This…
Lead-lag relationships, integral to market dynamics, offer valuable insights into the trading behavior of high-frequency traders (HFTs) and the flow of information at a granular level. This paper investigates the lead-lag relationships…
The correct understanding of commodity price dynamics can bring relevant improvements in terms of policy formulation both for developing and developed countries. Agricultural, metal and energy commodity prices might depend on each other:…
It is now widely accepted that volatility models have to incorporate the so-called leverage effect in order to to model the dynamics of daily financial returns.We suggest a new class of multivariate power transformed asymmetric models. It…