Related papers: On the Asymmetric Volatility Connectedness
Financial markets provide an ideal frame for studying decision making in crowded environments. Both the amount and accuracy of the data allows to apply tools and concepts coming from physics that studies collective and emergent phenomena or…
This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance hedge ratio…
Network properties govern the rate and extent of spreading processes on networks, from simple contagions to complex cascades. Recent advances have extended the study of spreading processes from static networks to temporal networks, where…
Evaluation of per-sample uncertainty quantification from neural networks is essential for decision-making involving high-risk applications. A common approach is to use the predictive distribution from Bayesian or approximation models and…
Volatility estimation is a central problem in financial econometrics, but becomes particularly challenging when jump activity is high, a phenomenon observed empirically in highly traded financial securities. In this paper, we revisit the…
With escalating macroeconomic uncertainty, the risk interlinkages between energy and food markets have become increasingly complex, posing serious challenges to global energy and food security. This paper proposes an integrated framework…
We consider a microstructure model for a financial asset, allowing for price discreteness and for a diffusive behavior at large sampling scale. This model, introduced by Delattre and Jacod, consists in the observation at the high frequency…
We develop a theory to measure the variance and covariance of probability distributions defined on the nodes of a graph, which takes into account the distance between nodes. Our approach generalizes the usual (co)variance to the setting of…
Working on different aspects of algorithmic trading we empirically discovered a new market invariant. It links together the volatility of the instrument with its traded volume, the average spread and the volume in the order book. The…
This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency.…
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…
We suggest an approach to study hierarchy, especially hidden one, of complex networks based on the analysis of their vulnerability. Two quantities are proposed as a measure of network hierarchy. The first one is the system vulnerability V.…
Randomization tests have gained popularity for causal inference under network interference because they are finite-sample valid with minimal assumptions. However, existing procedures are limited as they primarily focus on the existence of…
In this paper we propose a distributed algorithm for the estimation and control of the connectivity of ad-hoc networks in the presence of a random topology. First, given a generic random graph, we introduce a novel stochastic power…
This study investigates the short-term asymptotic behavior of the implied volatility surface (IVS), with a particular focus on the at-the-money (ATM) skew and curvature, which are key determinants of the IVS shape and whose are widely…
Spillover of economic outcomes often arises over multiple networks, and distinguishing their separate roles is important in empirical research. For example, the direction of spillover between two groups (such as banks and industrial sectors…
In economics, insurance and finance, value at risk (VaR) is a widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, time horizon, and probability $\alpha$, the $100\alpha\%$ VaR is…
In various disordered systems or non-equilibrium dynamical models, the large deviations of some observables have been found to display different scalings for rare values bigger or smaller than the typical value. In the present paper, we…
We consider the problem of inferring the functional connectivity of a large-scale computer network from sparse time series of events emitted by its nodes. We do so under the following three domain-specific constraints: (a) non-stationarity…
In this article we use the Mean-Variance Model in order to measure the current market state. In our study we take the approach of detecting the overall alignment of portfolios in the spin picture. The projection to the ground-states enables…