Related papers: A New Model-free Prediction Method: GA-NoVaS
We introduce a new approach for prudent risk evaluation based on stochastic dominance, which will be called the model aggregation (MA) approach. In contrast to the classic worst-case risk (WR) approach, the MA approach produces not only a…
In this paper, we introduce a new single model maneuvering target tracking approach using stochastic differential equation (SDE) based on GARCH volatility. The traditional input estimation (IE) techniques assume constant acceleration level…
This paper proposes a statistical verification framework using Gaussian processes (GPs) for simulation-based verification of stochastic nonlinear systems with parametric uncertainties. Given a small number of stochastic simulations, the…
Nonlinear vector autoregression (NVAR) and reservoir computing (RC) have shown promise in forecasting chaotic dynamical systems, such as the Lorenz-63 model and El Nino-Southern Oscillation. However, their reliance on fixed nonlinear…
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric approach to investigate the outcomes of the log-periodic model…
We assess the advantage of combining univariate and multivariate portfolio risk forecasts with the aid of forecast reconciliation techniques. In our analyzes, we assume knowledge of portfolio weights, a standard for portfolio risk…
Volatility-based trading strategies have attracted a lot of attention in financial markets due to their ability to capture opportunities for profit from market dynamics. In this article, we propose a new volatility-based trading strategy…
We study, both analytically and numerically, an ARCH-like, multiscale model of volatility, which assumes that the volatility is governed by the observed past price changes on different time scales. With a power-law distribution of time…
We present a new volatility model, simple to implement, that includes a leverage effect whose return-volatility correlation function fits to empirical observations. This model is able to capture both the "retarded effect" induced by the…
Graph is a flexible and effective tool to represent complex structures in practice and graph neural networks (GNNs) have been shown to be effective on various graph tasks with randomly separated training and testing data. In real…
In this paper, to cope with the shortage of sufficient theoretical support resulted from the fast-growing quantitative financial modeling, we investigate two classes of generalized stochastic volatility models, establish their…
Based on law of large numbers and central limit theorem under nonlinear expectation, we introduce a new method of using G-normal distribution to measure financial risks. Applying max-mean estimators and small windows method, we establish…
In this study, we examine the fluctuation in the value of the Great Britain Pound (GBP). We focus particularly on its relationship with the United States Dollar (USD) and the Euro (EUR) currency pairs. Utilizing data from June 15, 2018, to…
We introduce a novel Bayesian framework for estimating time-varying volatility by extending the Random Walk Stochastic Volatility (RWSV) model with Dynamic Shrinkage Processes (DSP) in log-variances. Unlike the classical Stochastic…
In financial mathematics, it is a typical approach to approximate financial markets operating in discrete time by continuous-time models such as the Black Scholes model. Fitting this model gives rise to difficulties due to the discrete…
This paper proposes a hybrid methodology to improve the approximation of SABR (Stochastic Alpha Beta Rho) implied volatility by combining analytical structure with machine learning. The approach augments the neural-network input…
Volatility clustering is a crucial property that has a substantial impact on stock market patterns. Nonetheless, developing robust models for accurately predicting future stock price volatility is a difficult research topic. For predicting…
This paper introduces the Fractal-Chaotic Oscillation Co-driven (FCOC) framework, a novel paradigm for financial volatility forecasting that systematically resolves the dual challenges of feature fidelity and model responsiveness. FCOC…
The study of long-horizon returns has received a great deal of attention in recent years (see, for example, Boudoukh, Richardson, and Whitelaw (2008), Neuberger (2012) and Lee (2013), Fama and French (2018)). While most of the discussions…
In this paper, we propose and study a novel continuous-time model, based on the well-known constant elasticity of variance (CEV) model, to describe the asset price process. The basic idea is that the volatility elasticity of the CEV model…