Multifractal Volatility
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Multifractal Volatility
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Author : Laurent E. Calvet
language : en
Publisher: Academic Press
Release Date : 2008-10-13
Multifractal Volatility written by Laurent E. Calvet and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-13 with Business & Economics categories.
Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. Presents a powerful new technique for forecasting volatility Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research
Forecasting Multifractal Volatility
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Author : Laurent E. Calvet
language : en
Publisher:
Release Date : 2013
Forecasting Multifractal Volatility written by Laurent E. Calvet and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This paper develops analytical methods to forecast the distribution of future returns for a new continuous-time process, the Poisson multifractal. Out model captures the thick tails and volatility persistence exhibited by many financial time series. We assume that the forecaster knows the true generating process with certainty, but only observes past returns. The challenge in this environment is long memory and the corresponding infinite dimension of the state space. We show that a discretized version of the model has a finite state space, which allows an analytical solution to the conditioning problem. Further, the discrete model converges to the continuous-time model as time scale goes to zero, so that forecasts are consistent. The methodology is implemented on simulated data calibrated to the Deutschemark/US Dollar exchange rate. Applying these results to option pricing, we find that the model captures both volatility smiles and long-memory in the term structure of implied volatilities.
Foreasting Multifractal Volatility
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Author : Laurent CALVET
language : en
Publisher:
Release Date : 2000
Foreasting Multifractal Volatility written by Laurent CALVET and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
Forecasting Multifractal Volatility
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Author : Laurent E. Calvet
language : en
Publisher:
Release Date : 2000
Forecasting Multifractal Volatility written by Laurent E. Calvet and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Finance categories.
Multifractal Financial Markets
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Author : Yasmine Hayek Kobeissi
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-07-23
Multifractal Financial Markets written by Yasmine Hayek Kobeissi and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-07-23 with Business & Economics categories.
Multifractal Financial Markets explores appropriate models for estimating risk and profiting from market swings, allowing readers to develop enhanced portfolio management skills and strategies. Fractals in finance allow us to understand market instability and persistence. When applied to financial markets, these models produce the requisite amount of data necessary for gauging market risk in order to mitigate loss. This brief delves deep into the multifractal market approach to portfolio management through real-world examples and case studies, providing readers with the tools they need to forecast profound shifts in market activity.
Research On Volatility And Contagion Effect In Stock Market
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Author : Dexiang Mei
language : en
Publisher: Scientific Research Publishing, Inc. USA
Release Date : 2020-12-06
Research On Volatility And Contagion Effect In Stock Market written by Dexiang Mei and has been published by Scientific Research Publishing, Inc. USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-12-06 with Art categories.
The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes the following four parts.
Volatility Forecasting With The Multifractal Model Of Asset Returns
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Author : Terrence Y. Zhang
language : en
Publisher:
Release Date : 2017
Volatility Forecasting With The Multifractal Model Of Asset Returns written by Terrence Y. Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This paper presents an empirical application of the Multifractal Model of Asset Returns (MMAR) to intraday stock prices, with a goal of generating accurate volatility forecasts. Intraday stock volatility exhibits long tails, persistence, and strong evidence of moment scaling. This allows us to apply the MMAR. A forecasting method for the MMAR is implemented through Monte Carlo simulation, and this forecasting method is compared to Generalized Autoregressive Conditional Heteroskedasticity (GARCH) alternatives over several testing samples. The MMAR significantly outperformed the GARCH models. This suggests that the framework of multifractality has a large potential for further development and application within finance.
Multifractal Models Of Volatility
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Author : Søren Bundgaard Brøgger
language : en
Publisher:
Release Date : 2011
Multifractal Models Of Volatility written by Søren Bundgaard Brøgger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Multifractal Models Intertrade Durations And Return Volatility
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Author : Mawuli Segnon
language : en
Publisher:
Release Date : 2015
Multifractal Models Intertrade Durations And Return Volatility written by Mawuli Segnon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Multifractal Models Intertrade Durations And Return Volatility
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Author :
language : en
Publisher:
Release Date : 2015
Multifractal Models Intertrade Durations And Return Volatility written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.