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Multifractal Volatility

Multifractal Volatility Book
Author : Laurent E. Calvet,Adlai J. Fisher
Publisher : Academic Press
Release : 2008-10-13
ISBN : 9780080559964
Language : En, Es, Fr & De

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Book Description :

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

FOREASTING MULTIFRACTAL VOLATILITY

FOREASTING MULTIFRACTAL VOLATILITY Book
Author : Laurent CALVET
Publisher : Unknown
Release : 2000
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download FOREASTING MULTIFRACTAL VOLATILITY book written by Laurent CALVET, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Multifractal Based Network Traffic Modeling

Multifractal Based Network Traffic Modeling Book
Author : Murali Krishna P,Vikram Gadre,Uday B. Desai
Publisher : Springer Science & Business Media
Release : 2003-12-31
ISBN : 9781402075667
Language : En, Es, Fr & De

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Book Description :

This helpful book provides an overview of existing broadband traffic modelling based on the Poisson process and its variants. It also offers very good coverage of models based on self-similar processes. The authors have focused throughout on the problem of broadband traffic modelling.

The Oxford Handbook of Computational Economics and Finance

The Oxford Handbook of Computational Economics and Finance Book
Author : Shu-Heng Chen,Mak Kaboudan,Ye-Rong Du
Publisher : Oxford University Press
Release : 2018-01-12
ISBN : 0190877502
Language : En, Es, Fr & De

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Book Description :

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.

A Markov switching Multifractal Approach to Forecasting Realized Volatility

A Markov switching Multifractal Approach to Forecasting Realized Volatility Book
Author : Thomas Lux,Leonardo Morales-Arias,Cristina Sattarhoff
Publisher : Unknown
Release : 2011
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download A Markov switching Multifractal Approach to Forecasting Realized Volatility book written by Thomas Lux,Leonardo Morales-Arias,Cristina Sattarhoff, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Corporate Finance

Corporate Finance Book
Author : Pierre Vernimmen,Pascal Quiry,Maurizio Dallocchio,Yann Le Fur,Antonio Salvi
Publisher : John Wiley & Sons
Release : 2014-10-09
ISBN : 1118849299
Language : En, Es, Fr & De

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Book Description :

Merging theory and practice into a comprehensive,highly-anticipated text Corporate Finance continues its legacy as one of the mostpopular financial textbooks, with well-established content from adiverse and highly respected author team. Unique in its features,this valuable text blends theory and practice with a direct,succinct style and commonsense presentation. Readers will beintroduced to concepts in a situational framework, followed by adetailed discussion of techniques and tools. This latest editionincludes new information on venture finance and debt structuring,and has been updated throughout with the most recent statisticaltables. The companion website provides statistics, graphs, charts,articles, computer models, and classroom tools, and the freemonthly newsletter keeps readers up to date on the latesthappenings in the field. The authors have generously madethemselves available for questions, promising an answer inseventy-two hours. Emphasizing how key concepts relate to real-world situations iswhat makes Corporate Finance a valuable reference with realrelevance to the professional and student alike. Readers will gaininsight into the methods and tools that shape the industry,allowing them to: Analyze investments with regard to hurdle rates, cash flows,side costs, and more Delve into the financing process and learn the tools andtechniques of valuation Understand cash dividends and buybacks, spinoffs, anddivestitures Explore the link between valuation and corporate finance As the global economy begins to recover, access to the mostcurrent information and statistics will be required. To remainrelevant in the evolving financial environment, practitioners willneed a deep understanding of the mechanisms at work. CorporateFinance provides the expert guidance and detailed explanationsfor those requiring a strong foundational knowledge, as well asmore advanced corporate finance professionals.

Volatility Comovement

Volatility Comovement Book
Author : Laurent E. Calvet,Adlai J. Fisher,Samuel B. Thompson
Publisher : Unknown
Release : 2004
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

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.

The Illustrated Wavelet Transform Handbook

The Illustrated Wavelet Transform Handbook Book
Author : Paul S Addison
Publisher : CRC Press
Release : 2002-07-15
ISBN : 9781420033397
Language : En, Es, Fr & De

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Book Description :

The Illustrated Wavelet Transform Handbook: Introductory Theory and Applications in Science, Engineering, Medicine and Finance provides an overview of the theory and practical applications of wavelet transform methods. The author uses several hundred illustrations, some in color, to convey mathematical concepts and the results of applications. The first chapter presents a brief overview of the wavelet transform, including a short history. The remainder of the book is split into two parts: the first part discusses the mathematics of both discrete and continuous wavelet transforms while the second part deals with applications in a variety of subject areas, such as geophysics, medicine, fluid turbulence, engineering testing, speech and sound analysis, image analysis, and data compression. These application chapters make the reader aware of the similarities that exist in the use of wavelet transform analysis across disciplines. A comprehensive list of more than 700 references provides a valuable resource for further study. The book is designed specifically for the applied reader in science, engineering, medicine, finance, or any other of the growing number of application areas. Newcomers to the subject will find an accessible and clear account of the theory of continuous and discrete wavelet transforms, providing a large number of examples of their use across a wide range of disciplines. Readers already acquainted with wavelets can use the book to broaden their perspective.

Multifractal Financial Markets

Multifractal Financial Markets Book
Author : Yasmine Hayek Kobeissi
Publisher : Springer Science & Business Media
Release : 2012-07-23
ISBN : 146144490X
Language : En, Es, Fr & De

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Book Description :

Multifractal Financial Markets ‚Äčexplores 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.

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets Book
Author : Alain Chaboud
Publisher : Unknown
Release : 2008
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

"Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. Using volatility signature plots and a recently-proposed formal decision rule to select the sampling frequency, we find that one can sample FX returns as frequently as once every 15 to 20 seconds without contaminating volatility estimates; bond returns may be sampled as frequently as once every 2 to 3 minutes on days without U.S. macroeconomic announcements, and as frequently as once every 40 seconds on announcement days. With a simple realized kernel estimator, the sampling frequencies can be increased to once every 2 to 5 seconds for FX returns and to about once every 30 to 40 seconds for bond returns. These sampling frequencies, especially in the case of FX returns, are much higher than those often recommended in the empirical literature on realized volatility in equity markets. We suggest that the generally superior depth and liquidity of trading in FX and government bond markets contributes importantly to this difference"--Federal Reserve Board web site.

Complexity in Economics Macroeconomics financial markets and international economics

Complexity in Economics  Macroeconomics  financial markets  and international economics Book
Author : John Barkley Rosser
Publisher : Unknown
Release : 2004
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Complexity in Economics Macroeconomics financial markets and international economics book written by John Barkley Rosser, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Noise and Fluctuations in Econophysics and Finance

Noise and Fluctuations in Econophysics and Finance Book
Author : Derek Abbott
Publisher : Society of Photo Optical
Release : 2005
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Proceedings of SPIE present the original research papers presented at SPIE conferences and other high-quality conferences in the broad-ranging fields of optics and photonics. These books provide prompt access to the latest innovations in research and technology in their respective fields. Proceedings of SPIE are among the most cited references in patent literature.

Israel Journal of Earth Sciences

Israel Journal of Earth Sciences Book
Author : Anonim
Publisher : Unknown
Release : 2007
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Israel Journal of Earth Sciences book written by , available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Journal of Econometrics

Journal of Econometrics Book
Author : Anonim
Publisher : Unknown
Release : 2001
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Journal of Econometrics book written by , available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Three Essays on the Application of the Markov Switching Multifractal Model

Three Essays on the Application of the Markov Switching Multifractal Model Book
Author : Waleem Babatunde Alausa,University of Alberta. Department of Economics
Publisher : Unknown
Release : 2014
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

The overall purpose of this thesis is to extend and apply the Markov Switching Multifractal (MSM) model to various economic problems. To this extent, Chapter 1 lays the ground work for the next chapters by reviewing the MSM model, discussing its properties and outlining its estimation procedures. The chapter also reviews the distributional properties of several commodity markets that make them amenable to the MSM model. Chapter 2 extends the MSM model by incorporating a vector error correction component, which includes in the conditional mean equation, the cointegrating relationship between spot and futures prices. The VECM-MSM model has two distinctive features that incorporate the empirical properties of asset prices. First, it includes an error correction mechanism in the mean equation that incorporates the long-run relationship between spot and futures prices. Second, the model specifies the conditional second moments as a bivariate Markov Switching Multifractal (MSM) model. The VECM-MSM model is applied to study the problem of risk hedging in the futures market. The hedging effectiveness of the proposed VECM-MSM model is evaluated, using a value-at-risk (VaR) approach. Specifically, we compare the hedging effectiveness of the proposed model to those of alternative models by assessing their unconditional and conditional VaR coverages. Models are then ranked in terms of the adequacy and accuracy of their hedged portfolio VaR. The in-sample and out-of-sample hedge effectiveness shows that the VECM-MSM hedged portfolio outperforms alternative hedging strategies in terms of having the lowest rate of VaR violations among the different strategies. Statistical tests of unconditional and conditional coverages also show that the VECM-MSM model better predicts an investor's downside risk in that the VaR predictions are more accurate than the predictions from the alternative models. Chapter 3 of this thesis investigates the excess commodity comovement phenomenon, using the MSM model. One of the stylized facts of commodity prices is their tendency for comovement. The phenomenon implies that seemingly unrelated commodities tend to move together beyond what can be attributed to fundamentals, such as demand and supply conditions, exchange rates, interest rates, industrial production etc. Excess commodity comovement bears significant welfare and risk management implications. For an instance, a synchronous rise in prices of commodities exerts significant inflationary pressure on commodity import dependent countries, and limits their ability to maintain economic stability and resist inflationary pressures. Moreover, to the extent that comovement measures, such as correlation and covariance among commodities, comprise an essential ingredient in risk assessment, pricing, portfolio management and hedging, failure to account for such excess comovement can lead to sub-optimal economic decisions. Therefore within the debate on excess commodity comovement, the objective of this chapter is twofold. First, it analyzes the degree of excess commodity comovement across a variety of commodities. Second, it analyzes the frequency-dependent nature of comovement across related (e.g. crude and heating oil) and unrelated commodities (e.g. copper and corn). First, we find that there is significant comovement between commodity prices, beyond what can simply be explained by macroeconomic fundamentals. Second, decomposing comovements into multiple frequencies, we find that all commodities exhibit long-run excess comovements which are driven by low frequency fundamentals such as weather, demographic and macroeconomic factors. But some commodities also exhibit significant short-run excess comovements that may be attributable to short-run factors such as liquidity constraints, indexation, etc. Third, the dynamic correlations show that excess comovements are higher in periods of high volatility and vice-versa. The final chapter applies a new class of model, the Autoregressive Markov switching multifractal model, for forecasting spot electricity prices. Three variants of the model are examinedEmploying hourly prices from the AESO market, the parameters of the ARX-MSM models are estimated, and one-step-ahead hourly forecasts are obtained. To put the performance of the ARX-MSM models into perspective, the results are compared to those of other notable models used in the literature, namely the AR(1), ARX, ARX-GARCH, mean-reverting jump and the 2-state independent Markov regime switching models. Goodness-of-fit tests indicate that the ARX-MSM models fit the data significantly better than the competing models. Likewise, out-of-sample results show that the ARX-MSM models provide better forecast accuracy.

The Journal of the Korean Physical Society

The Journal of the Korean Physical Society Book
Author : Anonim
Publisher : Unknown
Release : 2008
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download The Journal of the Korean Physical Society book written by , available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Working Paper Series

Working Paper Series Book
Author : Anonim
Publisher : Unknown
Release : 2003
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Working Paper Series book written by , available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Agent Based Modeling

Agent Based Modeling Book
Author : Norman Ehrentreich
Publisher : Springer Science & Business Media
Release : 2007-10-25
ISBN : 3540738797
Language : En, Es, Fr & De

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Book Description :

This book reconciles the existence of technical trading with the Efficient Market Hypothesis. By analyzing a well-known agent-based model, the Santa Fe Institute Artificial Stock Market (SFI-ASM), it finds that when selective forces are weak, financial evolution cannot guarantee that only the fittest trading rules will survive. Its main contribution lies in the application of standard results from population genetics which have widely been neglected in the agent-based community.

Materials Science and Information Technology

Materials Science and Information Technology Book
Author : Cai Suo Zhang
Publisher : Trans Tech Publications Ltd
Release : 2012-01-03
ISBN : 3038137731
Language : En, Es, Fr & De

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Book Description :

These are the fully refereed proceedings of the International Conference on Materials Science and Information Technology (MSIT 2011), held during the 16-18 September 2011 in Singapore. The main goal of the event was to provide an international scientific forum for the exchange of new ideas in a number of fields by permitting in-depth interaction via discussions with peers from around the world. Core areas of materials science and information technology, plus multi-disciplinary and interdisciplinary aspects are covered. Volume is indexed by Thomson Reuters CPCI-S (WoS).

Wavelet Applications in Signal and Image Processing

Wavelet Applications in Signal and Image Processing Book
Author : Anonim
Publisher : Unknown
Release : 2000
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Wavelet Applications in Signal and Image Processing book written by , available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.