Related papers: On the Asymmetric Volatility Connectedness
Financial time series exhibit two different type of non linear correlations: (i) volatility autocorrelations that have a very long range memory, on the order of years, and (ii) asymmetric return-volatility (or `leverage') correlations that…
A statistical mechanics theory for a fluid stratified in density is presented. The predicted statistical equilibrium state is the most probable outcome of turbulent stirring. The slow temporal evolution of the vertical density profile is…
The approach of quantifying the damage inflicted on a graph in Albert, Jeong and Barabsi's (AJB) report "Error and Attack Tolerance of Complex Networks" using the size of the largest connected component and the average size of the remaining…
We devised a measure based on the distributions of relative event timings of two coupled units. The measure dynamically evaluates temporal interdependencies between the two coupled units. Using this we show that even in the event of…
We present a new simple method of estimating stochastic volatility and its volatility. This method is applicable to both cross-sectional and time-series data. Moreover, this method does not require volatility data series.
Entropy and information provide natural measures of correlation among elements in a network. We construct here the information theoretic analog of connected correlation functions: irreducible $N$--point correlation is measured by a decrease…
Controlled one-dimensional diffusion processes, with infinitesimal variance (instead of the infinitesimal mean) depending on the control variable, are considered in an interval located on the positive half-line. The process is controlled…
The most common way to sample from a probability distribution is to use Monte-Carlo methods. For distributions on a continuous state space, one can find diffusions with the target distribution as equilibrium measure, so that the state of…
We study the dynamics of the linear and non-linear serial dependencies in financial time series in a rolling window framework. In particular, we focus on the detection of episodes of statistically significant two- and three-point…
We investigate whether sophisticated volatility estimation improves the out-of-sample performance of mean-variance portfolio strategies relative to the naive 1/N strategy. The portfolio strategies rely solely upon second moments. Using a…
We consider change point detection for the volatility in second order linear parabolic stochastic partial differential equations based on high frequency spatio-temporal data. We give a test statistic to detect changes in the volatility…
The connectivity of stock markets reflects the information efficiency of capital markets and contributes to interior risk contagion and spillover effects. We compare Shanghai Stock Exchange A-shares (SSE A-shares) during tranquil periods,…
This paper explores the continuous-time limit of a class of Quasi Score-Driven (QSD) models that characterize volatility. As the sampling frequency increases and the time interval tends to zero, the model weakly converges to a…
Current frameworks for evaluating security bug severity, such as the Common Vulnerability Scoring System (CVSS), prioritize the ratio of exploitability to impact. This paper suggests that the above approach measures the "known knowns" but…
The aim of this paper is to examine the time scaling of the semivariance when returns are modeled by various types of jump-diffusion processes, including stochastic volatility models with jumps in returns and in volatility. In particular,…
In this paper, we introduce an impact centrality measure to evaluate shock propagation on financial networks capturing a notion of contagion and systemic risk contributions, permitting comparisons of these risks over time. In addition, we…
We present results for the so-called `bar-attendance' model of market behavior: $p$ adaptive agents, each possessing $n$ prediction rules chosen randomly from a pool, attempt to attend a bar whose cut-off is $s$. The global attendance…
We consider a distributed system with identical agents, constant-spacing policy and asymmetric bidirectional control, where the asymmetry is due to different controllers, which we describe by transfer functions. By applying the wave…
This study evaluates the performance of analog-based methodologies to predict, in a statistical way, the longitudinal velocity in a turbulent flow. The data used comes from hot wire experimental measurements from the Modane wind tunnel. We…
The knowledge of transitions between regular, laminar or chaotic behavior is essential to understand the underlying mechanisms behind complex systems. While several linear approaches are often insufficient to describe such processes, there…