相关论文: Volatility Inference in the Presence of Both Endog…

In this paper, we show that the recent integration of statistical models with deep recurrent neural networks provides a new way of formulating volatility (the degree of variation of time series) models that have been widely used in time…

We propose nonparametric estimators of the occupation measure and the occupation density of the diffusion coefficient (stochastic volatility) of a discretely observed It\^{o} semimartingale on a fixed interval when the mesh of the…

In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. Under this newly revised model, the…

Maximum likelihood estimation applied to high-frequency data allows us to quantify intermittency in the fluctu- ations of asset prices. From time records as short as one month these methods permit extraction of a meaningful intermittency…

We develop a novel observation-driven model for high-frequency prices. We account for irregularly spaced observations, simultaneous transactions, discreteness of prices, and market microstructure noise. The relation between trade durations…

We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…

Numerous biological and microscale systems exhibit synchronization in noisy environments. The theory of such noisy oscillators and their synchronization has been developed and experimentally demonstrated, but inferring the noise intensity…

We present two models for incorporating the total effect of market microstructure noise into dynamic pricing of assets and European options. The first model is developed under a Black-Scholes-Merton, continuous-time framework. The second…

In this article we model chaotic dynamics in financial markets by treating the market price, and market makers' inventory, as anharmonic oscillators with a nonlinear coupling. The market makers' risk appetite being the key parameter that…

We study the asymptotic normality of two feasible estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation of the spot volatility. We show that the bias-corrected…

Noise-induced phase transitions are common in various complex systems, from physics to biology. In this article, we investigate the emergence of crucial events in noise-induced phase transition processes and their potential significance for…

In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…

Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data.…

Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior…

Typical experimental measurement is set up as a study of the system's response to a stationary external excitation. This approach considers any random fluctuation of the signal as spurious contribution which is to be eliminated via…

We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and…

We consider the models Y_{i,n}=\int_0^{i/n} \sigma(s)dW_s+\tau(i/n)\epsilon_{i,n}, and \tilde Y_{i,n}=\sigma(i/n)W_{i/n}+\tau(i/n)\epsilon_{i,n}, i=1,...,n, where W_t denotes a standard Brownian motion and \epsilon_{i,n} are centered i.i.d.…

This paper examines empirical methods for estimating the response of aggregated electricity demand to high-frequency price signals, the short-term elasticity of electricity demand. We investigate how the endogeneity of prices and the…

We establish a central limit theorem for a class of pre-averaging covariance estimators in a general endogenous time setting. In particular, we show that the time endogeneity has no impact on the asymptotic distribution if certain…

This paper is concerned with the estimation of the volatility process in a stochastic volatility model of the following form: $dX_t=a_tdt+\sigma_tdW_t$, where $X$ denotes the log-price and $\sigma$ is a c\`adl\`ag semi-martingale. In the…