Related papers: High-frequency dynamics of the implied volatility …
This paper introduces one new multivariate volatility model that can accommodate an appropriately defined network structure based on low-frequency and high-frequency data. The model reduces the number of unknown parameters and the…
This work focuses on a self-exciting point process defined by a Hawkes-like intensity and a switching mechanism based on a hidden Markov chain. Previous works in such a setting assume constant intensities between consecutive events. We…
We introduce a multivariate Hawkes process with constraints on its conditional density. It is a multivariate point process with conditional intensity similar to that of a multivariate Hawkes process but certain events are forbidden with…
Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high…
The mathematical models and numerical simulations reported here are motivated by satellite observations of horizontal gradients of sea surface temperature and salinity that are closely coordinated with the slowly varying envelope of the…
The turbulence of capillary waves on the surface of a ferrofluid with a high permeability in a horizontal magnetic field is considered in the framework of a one-dimensional weakly nonlinear model. In the limit of a strong magnetic field,…
Numerical and observational evidence indicates that, in regions where mixed-layer instability is active, the surface geostrophic velocity is largely induced by surface buoyancy anomalies. Yet, in these regions, the observed surface kinetic…
Cells exert traction forces on compliant substrates and can induce surface instabilities that appear as characteristic wrinkling patterns. Here, we develop a mechanical description of cell-induced wrinkling on soft substrates using a thin…
A point process for event arrivals in high frequency trading is presented. The intensity is the product of a Hawkes process and high dimensional functions of covariates derived from the order book. Conditions for stationarity of the process…
We investigate spatio-temporal event analysis using point processes. Inferring the dynamics of event sequences spatiotemporally has many practical applications including crime prediction, social media analysis, and traffic forecasting. In…
An unconstrained, non-linearly elastic, semi-infinite solid is maintained in a state of large static plane strain. A power-law relation between the pre-stretches is assumed and it is shown that this assumption is well-motivated physically…
In financial terms, an implied volatility surface can be described by its term structure, its skewness and its overall volatility level. We use a PCA variational auto-encoder model to perfectly represent these descriptors into a latent…
The Hawkes process has garnered attention in recent years for its suitability to describe the behavior of online information cascades. Here, we present a fully tractable approach to analytically describe the distribution of the number of…
Using microscopic price models based on Hawkes processes, it has been shown that under some no-arbitrage condition, the high degree of endogeneity of markets together with the phenomenon of metaorders splitting generate rough Heston-type…
Quadratic Hawkes (QHawkes) processes have proved effective at reproducing the statistics of price changes, capturing many of the stylised facts of financial markets. Motivated by the recently reported strong occurrence of endogenous…
We study an extension of the Heston stochastic volatility model that incorporates rough volatility and jump clustering phenomena. In our model, named the rough Hawkes Heston stochastic volatility model, the spot variance is a rough…
For quantitative trading risk management purposes, we present a novel idea: the realized local volatility surface. Concisely, it stands for the conditional expected volatility when sudden market behaviors of the underlying occur. One is…
Locally stationary Hawkes processes have been introduced in order to generalise classical Hawkes processes away from stationarity by allowing for a time-varying second-order structure. This class of self-exciting point processes has…
This work defines and studies one-dimensional convolution kernels that preserve nonnegativity. When the past dynamics of a process is integrated with a convolution kernel like in Stochastic Volterra Equations or in the jump intensity of…
The implied volatility surface (IVS) is a fundamental building block in computational finance. We provide a survey of methodologies for constructing such surfaces. We also discuss various topics which can influence the successful…