相关论文: A new measure of risk using Fourier analysis
Being able to forcast extreme volatility is a central issue in financial risk management. We present a large volatility predicting method based on the distribution of recurrence intervals between volatilities exceeding a certain threshold…
We describe a method to probe the spectral fluctuations of a transition over broad ranges of frequencies and timescales with the high spectral resolution of Fourier spectroscopy, and a temporal resolution as high as the excited state…
Markets efficiency implies that the stock returns are intrinsically unpredictable, a property that makes markets comparable to random number generators. We present a novel methodology to investigate ultra-high frequency financial data and…
Financial markets across all asset classes are known to exhibit trends. These trends have been exploited by traders for decades. Here, we empirically measure when trends revert, based on 30 years of daily futures prices for equity indices,…
In this paper we propose a bivariate generalization of a weighted indexed semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that financial returns are described by a weighted indexed semi-Markov chain…
We propose a novel method to improve estimation of asset returns for portfolio optimization. This approach first performs a monthly directional market forecast using an online decision tree. The decision tree is trained on a novel set of…
In digital signal processing time-frequency transforms are used to analyze time-varying signals with respect to their spectral contents over time. Apart from the commonly used short-time Fourier transform, other methods exist in literature,…
We propose a novel method to quantify the clustering behavior in a complex time series and apply it to a high-frequency data of the financial markets. We find that regardless of used data sets, all data exhibits the volatility clustering…
In the framework of risk management, for the study of the sensitivity of pricing and hedging in stochastic financial models to changes of parameters and to perturbations of the stock prices, we propose an error calculus which is an…
The volatility of financial instruments is rarely constant, and usually varies over time. This creates a phenomenon called volatility clustering, where large price movements on one day are followed by similarly large movements on successive…
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature.…
We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the…
We use a replica approach to deal with portfolio optimization problems. A given risk measure is minimized using empirical estimates of asset values correlations. We study the phase transition which happens when the time series is too short…
A new test for measuring the accuracy of financial market risk estimations is introduced. It is based on the probability integral transform (PIT) of the ex post realized returns using the ex ante probability distributions underlying the…
The Heisenberg time-energy relation prevents determination of an atomic transition to better than the inverse of the measurement time. The relation generally applies to frequency estimation of a near-resonant field [1-3], since information…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…
The purpose of this paper is to introduce a new growth adjusted price-earnings measure (GA-P/E) and assess its efficacy as measure of value and predictor of future stock returns. Taking inspiration from the interpretation of the traditional…
This study delves into the intricate realm of risk evaluation within the domain of specific financial derivatives, notably options. Unlike other financial instruments, like bonds, options are susceptible to broader risks. A distinctive…
Hoeffding's Inequality provides the maximum probability that a series of n draws from a bounded random variable differ from the variable's true expectation u by more than given tolerance t. The random variable is typically the error rate of…