相关论文: Modeling long-range memory trading activity by sto…

We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…

Volatility models of price fluctuations are well studied in the econometrics literature, with more than 50 years of theoretical and empirical findings. The recent advancements in neural networks (NN) in the deep learning field have…

We present a tractable non-independent increment process which provides a high modeling flexibility. The process lies on an extension of the so-called Harris chains to continuous time being stationary and Feller. We exhibit constructions,…

Stochastic volatility models based on Gaussian processes, like fractional Brownian motion, are able to reproduce important stylized facts of financial markets such as rich autocorrelation structures, persistence and roughness of sample…

We propose a stochastic process driven by memory effect with novel distributions including both exponential and leptokurtic heavy-tailed distributions. A class of distribution is analytically derived from the continuum limit of the discrete…

Long-range correlated processes are ubiquitous, ranging from climate variables to financial time series. One paradigmatic example for such processes is fractional Brownian motion (fBm). In this work, we highlight the potentials and…

In many physical, social or economical phenomena we observe changes of a studied quantity only in discrete, irregularly distributed points in time. The stochastic process used by physicists to describe this kind of variables is the…

The origin of the long-range memory in the non-equilibrium systems is still an open problem as the phenomenon can be reproduced using models based on Markov processes. In these cases a notion of spurious memory is introduced. A good example…

We propose a stochastic process driven by the memory effect with novel distributions which include both exponential and leptokurtic heavy-tailed distributions. A class of the distributions is analytically derived from the continuum limit of…

In this paper, random and stochastic processes are defined on fractal curves. Fractal calculus is used to define cumulative distribution function, probability density function, moments, variance and correlation function of stochastic…

In this paper we examine the relation between market returns and volatility measures through machine learning methods in a high-frequency environment. We implement a minute-by-minute rolling window intraday estimation method using two…

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…

Piecewise-deterministic Markov processes combine continuous in time dynamics with jump events, the rates of which generally depend on the continuous variables and thus are not constants. This leads to a problem in a Monte-Carlo simulation…

We consider a tick-by-tick model of price formation, in which buy and sell orders are modeled as self-exciting point processes (Hawkes process), similar to the one in [Bacry, Delattre, Hoffmann, Muzy, Modelling microstructure noise with…

This article introduces the class of periodic trawl processes, which are continuous-time, infinitely divisible, stationary stochastic processes, that allow for periodicity and flexible forms of their serial correlation, including both…

We review statistical properties of models generated by the application of a (positive and negative order) fractional derivative operator to a standard random walk and show that the resulting stochastic walks display slowly-decaying…

Rough stochastic volatility models have attracted a lot of attentions recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, we propose to use a martingale distortion representation of…

A space fractional diffusion-like equation is introduced, which embodies the nonlocality in time, represented by the memory kernel and the non-locality in space. A specific example of the nonlocal term is considered in combination with…

We investigate the problem of pricing derivatives under a fractional stochastic volatility model. We obtain an approximate expression of the derivative price where the stochastic volatility can be composed of deterministic functions of time…

A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…