Related papers: Microstructure Effects on Daily Return Volatility …
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…
We introduce a discrete binary tree for pricing contingent claims with the underlying security prices exhibiting history dependence characteristic of that induced by market microstructure phenomena. Example dependencies considered include…
We examine dynamic coupling and feedback effects between High Frequency Traders (HFTs) and how they can destabilize markets. We develop a general framework for modelling dynamic interaction based on recurrence relations, and use this to…
The paper proposes a framework for modeling and analysis of the dynamics of supply, demand, and clearing prices in power system with real-time retail pricing and information asymmetry. Real-time retail pricing is characterized by passing on…
Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in log normalized returns, the…
Modeling returns on large portfolios is a challenging problem as the number of parameters in the covariance matrix grows as the square of the size of the portfolio. Traditional correlation models, for example, the dynamic conditional…
We investigate the large-volatility dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volatilities is characterized by a…
This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive specification with drifting coefficients and factor stochastic volatility in the errors to model six…
Technical trading represents a class of investment strategies for Financial Markets based on the analysis of trends and recurrent patterns of price time series. According standard economical theories these strategies should not be used…
Liberalization of electricity markets has increasingly created the need for understanding the volatility and correlation structure between electricity and financial markets. This work reveals the existence of structural changes in…
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.…
Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In the first part of the paper we discuss the framework of the…
In this paper we perform a statistical analysis over the returns and relative prices of the CAC $40$ and the S\&P $500$ with the purpose of analyzing the intra-day seasonalities of single and cross-sectional stock dynamics. In order to do…
A deterministic trading strategy can be regarded as a signal processing element that uses external information and past prices as inputs and incorporates them into future prices. This paper uses a market maker based method of price…
The thesis is composed of three parts. Part I introduces the mathematical and statistical tools that are relevant for the study of dependences, as well as statistical tests of Goodness-of-fit for empirical probability distributions. I…
We empirically examine the intraday return- and volatility-forecasting power of on-chain flow data for Bitcoin(BTC), Ethereum(ETH), and Tether(USDT). We find ETH net inflows to strongly predict ETH returns and volatility in the 2017-2023…
We study the dependency and causality structure of the cryptocurrency market investigating collective movements of both prices and social sentiment related to almost two thousand cryptocurrencies traded during the first six months of 2018.…
Modelling accurately financial price variations is an essential step underlying portfolio allocation optimization, derivative pricing and hedging, fund management and trading. The observed complex price fluctuations guide and constraint our…
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decentralized exchange (Uniswap V2). We find systematic patterns…
This paper investigates the effects of the launch of Bitcoin futures on the intraday volatility of Bitcoin. Based on one-minute price data collected from four cryptocurrency exchanges, we first examine the change in realized volatility…