Related papers: On the Skew Stickiness Ratio
We show that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-law tails of volatility and stock returns. We also show that…
In this paper, we focus on the estimation of historical volatility of asset prices from high-frequency data. Stochastic volatility models pose a major statistical challenge: since in reality historical volatility is not observable, its…
We present experimental observations and numerical simulations of a wrinkling instability that occurs at sufficiently high strain rates in the trembling regime of vesicle dynamics in steady linear flow. Spectral and statistical analysis of…
We consider a model of stochastic volatility which combines features of the multiplicative model for large volatilities and of the Heston model for small volatilities. The steady-state distribution in this model is a Beta Prime and is…
A statistical measure is given expressing relative occurrences of quantities within a given data set. Application of this measure on several real life physical data sets and some abstract distributions are shown to yield consistent results.…
A system's internal dynamics and its interaction with the environment can be determined by tracking how external perturbations affect its transition rates between states. Quantitative measurements of these rates are crucial for optimizing…
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…
We consider the Stokes phenomenon for the solutions of some partial differential equations with variable coefficients in two complex variables, where initial data are holomorphic. We use the theory of (moment) summability and the theory of…
We consider a stochastic volatility model where the dynamics of the volatility are given by a possibly infinite linear combination of the elements of the time extended signature of a Brownian motion. First, we show that the model is…
We present several models to describe the stochastic evolution of stocks that show some strong resistance at some level and generalize to this situation the evolution based upon geometric Brownian motion. If volatility and drift are related…
We examine the rate of decay to the limit of the tail dependence coefficient of a bivariate skew t distribution which always displays asymptotic tail dependence. It contains as a special case the usual bivariate symmetric t distribution,…
In this work we investigate the origin of the parabolic relation between skewness and kurtosis often encountered in the analysis of experimental time-series. We argue that the numerical values of the coefficients of the curve may provide…
Stochastic dividend discount models (Hurley and Johnson, 1994 and 1998, Yao, 1997) present expressions for the expected value of stock prices when future dividends evolve according to some random scheme. In this paper we try to offer a more…
We consider an investor who seeks to maximize her expected utility derived from her terminal wealth relative to the maximum performance achieved over a fixed time horizon, and under a portfolio drawdown constraint, in a market with local…
In this paper, we present a method of estimating the volatility of a signal that displays stochastic noise (such as a risky asset traded on an open market) utilizing Linear Predictive Coding. The main purpose is to associate volatility with…
Recently, expectile-based measures of skewness akin to well-known quantile-based skewness measures have been introduced, and it has been shown that these measures possess quite promising properties (Eberl and Klar, 2021, 2020). However, it…
In this paper, we consider the problem of pricing discretely-sampled variance swaps based on a hybrid model of stochastic volatility and stochastic interest rate with regime-switching. Our modelling framework extends the Heston stochastic…
Stochastic volatility models based on Gaussian processes, like fractional Brownian motion, are able to reproduce important stylized facts of financial markets such as rich autocorrelation structures, persistence and roughness of sample…
We develop a general method for calculating statistical properties of the speckle pattern of coherent waves propagating in disordered media. In some aspects this method is similar to the Boltzmann-Langevin approach for the calculation of…
We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a…