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
Multifractal Detrended Analysis Method And Its Application In Financial Markets
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Author : Guangxi Cao
language : en
Publisher: Springer
Release Date : 2018-02-18
Multifractal Detrended Analysis Method And Its Application In Financial Markets written by Guangxi Cao and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-18 with Business & Economics categories.
This book collects high-quality papers on the latest fundamental advances in the state of Econophysics and Management Science, providing insights that address problems concerning the international economy, social development and economic security. This book applies the multi-fractal detrended class method, and improves the method with different filters. The authors apply those methods to a variety of areas: financial markets, energy markets, gold market and so on. This book is arguably a systematic research and summary of various kinds of multi-fractal detrended methods. Furthermore, it puts forward some investment suggestions on a healthy development of financial markets.
Regime Switching And The Estimation Of Multifractal Processes
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Author : Laurent E. Calvet
language : en
Publisher:
Release Date : 2003
Regime Switching And The Estimation Of Multifractal Processes 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 2003 with Economics categories.
We propose a discrete-time stochastic volatility model in which regime switching serves three purposes. First, changes in regimes capture low frequency variations, which is their traditional role. Second, they specify intermediate frequency dynamics that are usually assigned to smooth autoregressive processes. Finally, high frequency switches generate substantial outliers. Thus, a single mechanism captures three important features of the data that are typically addressed as distinct phenomena in the literature. Maximum likelihood estimation is developed and shown to perform well in finite sample. We estimate on exchange rate data a version of the process with four parameters and more than a thousand states. The estimated model compares favorably to earlier specifications both in- and out-of-sample. Multifractal forecasts slightly improve on GARCH(1,1) at daily and weekly intervals, and provide considerable gains in accuracy at horizons of 10 to 50 days.
The Oxford Handbook Of Computational Economics And Finance
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Author : Shu-Heng Chen
language : en
Publisher: Oxford University Press
Release Date : 2018-01-12
The Oxford Handbook Of Computational Economics And Finance written by Shu-Heng Chen and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-01-12 with Business & Economics categories.
The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.
Macroeconometrics And Time Series Analysis
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Author : Steven Durlauf
language : en
Publisher: Springer
Release Date : 2016-04-30
Macroeconometrics And Time Series Analysis written by Steven Durlauf and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-30 with Business & Economics categories.
Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Fractal Geometry And Dynamical Systems In Pure And Applied Mathematics Ii
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Author : David Carfi
language : en
Publisher: American Mathematical Soc.
Release Date : 2013-10-24
Fractal Geometry And Dynamical Systems In Pure And Applied Mathematics Ii written by David Carfi and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-24 with Mathematics categories.
This volume contains the proceedings from three conferences: the PISRS 2011 International Conference on Analysis, Fractal Geometry, Dynamical Systems and Economics, held November 8-12, 2011 in Messina, Italy; the AMS Special Session on Fractal Geometry in Pure and Applied Mathematics, in memory of Benoît Mandelbrot, held January 4-7, 2012, in Boston, MA; and the AMS Special Session on Geometry and Analysis on Fractal Spaces, held March 3-4, 2012, in Honolulu, HI. Articles in this volume cover fractal geometry and various aspects of dynamical systems in applied mathematics and the applications to other sciences. Also included are articles discussing a variety of connections between these subjects and various areas of physics, engineering, computer science, technology, economics and finance, as well as of mathematics (including probability theory in relation with statistical physics and heat kernel estimates, geometric measure theory, partial differential equations in relation with condensed matter physics, global analysis on non-smooth spaces, the theory of billiards, harmonic analysis and spectral geometry). The companion volume (Contemporary Mathematics, Volume 600) focuses on the more mathematical aspects of fractal geometry and dynamical systems.
Theory Of Financial Risk And Derivative Pricing
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Author : Jean-Philippe Bouchaud
language : en
Publisher: Cambridge University Press
Release Date : 2003-12-11
Theory Of Financial Risk And Derivative Pricing written by Jean-Philippe Bouchaud and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-11 with Business & Economics categories.
Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
Volatility Comovement
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Author : Laurent E. Calvet
language : en
Publisher:
Release Date : 2004
Volatility Comovement 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 2004 with Economics categories.
We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar durations are strongly correlated across series. This motivates a bivariate extension of the Markov-Switching Multifractal (MSM) introduced in Calvet and Fisher (2001, 2004). Bivariate MSM is a stochastic volatility model with a closed-form likelihood. Estimation can proceed by ML for state spaces of moderate size, and by simulated likelihood via a particle filter in high-dimensional cases. We estimate the model and confirm its main assumptions in likelihood ratio tests. Bivariate MSM compares favorably to a standard multivariate GARCH both in- and out-of-sample. We extend the model to multivariate settings with a potentially large number of assets by proposing a parsimonious multifrequency factor structure.
Frontiers Of Fractal Analysis
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Author : Santo Banerjee
language : en
Publisher: CRC Press
Release Date : 2022-07-07
Frontiers Of Fractal Analysis written by Santo Banerjee and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-07-07 with Mathematics categories.
The history of describing natural objects using geometry is as old as the advent of science itself, in which traditional shapes are the basis of our intuitive understanding of geometry. However, nature is not restricted to such Euclidean objects which are only characterized typically by integer dimensions. Hence, the conventional geometric approach cannot meet the requirements of solving or analysing nonlinear problems which are related with natural phenomena, therefore, the fractal theory has been born, which aims to understand complexity and provide an innovative way to recognize irregularity and complex systems. Although the concepts of fractal geometry have found wide applications in many forefront areas of science, engineering and societal issues, they also have interesting implications of a more practical nature for the older classical areas of science. Since its discovery, there has been a surge of research activities in using this powerful concept in almost every branch of scientific disciplines to gain deep insights into many unresolved problems. This book includes eight chapters which focus on gathering cutting-edge research and proposing application of fractals features in both traditional scientific disciplines and in applied fields.
Multifractals And Chronic Diseases Of The Central Nervous System
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Author : Dipak Ghosh
language : en
Publisher: Springer
Release Date : 2019-01-24
Multifractals And Chronic Diseases Of The Central Nervous System written by Dipak Ghosh and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-24 with Science categories.
This book primarily focuses on the study of various neurological disorders, including Parkinson’s (PD), Huntington (HD), Epilepsy, Alzheimer’s and Motor Neuron Diseases (MND) from a new perspective by analyzing the physiological signals associated with them using non-linear dynamics. The development of nonlinear methods has significantly helped to study complex nonlinear systems in detail by providing accurate and reliable information. The book provides a brief introduction to the central nervous system and its various disorders, their effects on health and quality of life, and their respective courses of treatment, followed by different bioelectrical signals like those detected by Electroencephalography (EEG), Electrocardiography (ECG), and Electromyography (EMG). In turn, the book discusses a range of nonlinear techniques, fractals, multifractals, and Higuchi’s Fractal Dimension (HFD), with mathematical examples and procedures. A review of studiesconducted to date on neurological disorders like epilepsy, dementia, Parkinson’s, Huntington, Alzheimer’s, and Motor Neuron Diseases, which incorporate linear and nonlinear techniques, is also provided. The book subsequently presents new findings on neurological disorders of the central nervous system, namely Parkinson’s disease and Huntington’s disease, by analyzing their gait characteristics using a nonlinear fractal based technique: Multifractal Detrended Fluctuation Analysis (MFDFA). In closing, the book elaborates on several parameters that can be obtained from cross-correlation studies of ECG and blood pressure, and can be used as markers for neurological disorders.