相关论文: A new measure of risk using Fourier analysis
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…
Volatility of financial stock is referring to the degree of uncertainty or risk embedded within a stock's dynamics. Such risk has been received huge amounts of attention from diverse financial researchers. By following the concept of…
The fundamental theorem behind financial markets is that stock prices are intrinsically complex and stochastic. One of the complexities is the volatility associated with stock prices. Volatility is a tendency for prices to change…
We study the sensitivity to estimation error of portfolios optimized under various risk measures, including variance, absolute deviation, expected shortfall and maximal loss. We introduce a measure of portfolio sensitivity and test the…
Measurement devices always add noise to the signal of interest and it is necessary to evaluate the variance of the results. This article focuses on stationary random processes whose Power Spectrum Density is a power law of frequency. For…
Transformer models have become increasingly popular in financial applications, yet their potential risk making and biases remain under-explored. The purpose of this work is to audit the reliance of the model on volatile data for…
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are considered and capital requirements can be…
The Fourier phase information play a key role for the quantified description of nonlinear data. We present a novel tool for time series analysis that identifies nonlinearities by sensitively detecting correlations among the Fourier phases.…
The interpretation of new particle search results involves a confidence level calculation on either the discovery hypothesis or the background-only ("null") hypothesis. A typical approach uses toy Monte Carlo experiments to build an…
Asynchronous trading in high-frequency financial markets introduces significant biases into econometric analysis, distorting risk estimates and leading to suboptimal portfolio decisions. Existing synchronization methods, such as the…
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (2008). The required high-dimensional…
We use the statistical properties of Shannon entropy estimator and Kullback-Leibler divergence to study the predictability of ultra-high frequency financial data. We develop a statistical test for the predictability of a sequence based on…
The "theoretical limit of time-frequency resolution in Fourier analysis" is thought to originate in certain mathematical and/or physical limitations. This, however, is not true. The actual origin arises from the numerical (technical) method…
With the increasing volume of high-frequency data in the information age, both challenges and opportunities arise in the prediction of stock volatility. On one hand, the outcome of prediction using tradition method combining stock technical…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
A new branch based on Markov processes is developing in the recent literature of financial time series modeling. In this paper, an Indexed Markov Chain has been used to model high frequency price returns of quoted firms. The peculiarity of…
Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…
In this paper, we consider a method for fast numerical computation of the Fourier transform of a slowly decaying function with given accuracy in given ranges of the frequency. In these decades, some useful formulas for the Fourier transform…
The changes in brightness of an astronomical source as a function of time are key probes into that source's physics. Periodic and quasi-periodic signals are indicators of fundamental time (and length) scales in the system, while stochastic…
In the past few decades considerable effort has been expended in characterizing and modeling financial time series. A number of stylized facts have been identified, and volatility clustering or the tendency toward persistence has emerged as…