相关论文: There's more to volatility than volume

This paper investigates the asymptotic behavior of higher-order conditional tail moments, which quantify the contribution of individual losses in the event of systemic collapse. The study is conducted within a framework comprising two…

We investigate how large deviations events cluster in the framework of an infinite moving average process with light-tailed noise and long memory. The long memory makes clusters larger, and the asymptotic behaviour of the size of the…

The mutual fund industry manages about a quarter of the assets in the U.S. stock market and thus plays an important role in the U.S. economy. The question of how much control is concentrated in the hands of the largest players is best…

This paper presents a quantitative analysis of the relationship between the stock market returns and corresponding trading volumes using high- frequency data from the Polish stock market. First, for stocks that were traded for suffciently…

In this study we examine the evolution of price, volume, and the bid-ask spread after extreme 15 minute intraday price changes on the NYSE and the NASDAQ. We find that due to strong behavioral trading there is an overreaction. Furthermore…

We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and…

We revisit granular models that represent the size of a firm as the sum of the sizes of multiple constituents or sub-units. Originally developed to address the unexpectedly slow reduction in volatility as firm size increases, these models…

A theory of clustering of inertial particles advected by a turbulent velocity field caused by an instability of their spatial distribution is suggested. The reason for the clustering instability is a combined effect of the particles inertia…

Recent studies have found that the log-volatility of asset returns exhibit roughness. This study investigates roughness or the anti-persistence of Bitcoin volatility. Using the multifractal detrended fluctuation analysis, we obtain the…

Complex systems comprise a large number of interacting elements, whose dynamics is not always a priori known. In these cases -- in order to uncover their key features -- we have to turn to empirical methods, one of which was recently…

This paper investigates the scaling dependencies between measures of "activity" and of "size" for companies included in the FTSE 100. The "size" of companies is measured by the total market capitalization. The "activity" is measured with…

Cross-flow turbine performance and flow fields exhibit cycle-to-cycle variations, though this is often implicitly neglected through time- and phase-averaging. This variability could potentially arise from a variety of mechanisms -- inflow…

We investigate the general problem of how to model the kinematics of stock prices without considering the dynamical causes of motion. We propose a stochastic process with long-range correlated absolute returns. We find that the model is…

This study empirically re-examines fat tails in stock return distributions by applying statistical methods to an extensive dataset taken from the Korean stock market. The tails of the return distributions are shown to be much fatter in…

McMullen et al. [1] comment that the numerical simulations that explicitly include random velocity fluctuations ``should exhibit a thermal-fluctuation-dominated range'' consistent with the literature, so that our results (J. Fluid Mech.…

It is well-known that the Black-Scholes formula has been derived under the assumption of constant volatility in stocks. In spite of evidence that this parameter is not constant, this formula is widely used by financial markets. This paper…

This paper investigates short-term behaviors of implied volatility of derivatives written on indexes in equity markets when the index processes are constructed by using a ranking procedure. Even in simple market settings where stock prices…

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…

One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a…

It is well known that the probability distribution of high-frequency financial returns is characterized by a leptokurtic, heavy-tailed shape. This behavior undermines the typical assumption of Gaussian log-returns behind the standard…