This paper investigates the clustering or dependency of extremes in financial returns by estimating the extremal index … dependency structure of financial returns data and the proprieties of the extremes returns. Moreover, understanding clustering of …

It is common practice to employ returns, price differences or log returns for financial risk estimation and time series … forecasting. In De Prado’s 2018 book, it was argued that by using returns we lose memory of time series. In order to verify this … transformations. We forecasted risk (volatility) and price value and compared the results of all models using original, unmodified …

In this paper, we deal with the possibility of using econophysics concepts in dynamic portfolio optimization. The main …

paper, we make the linkage between the use of big data and Econophysics, a research field which uses a large amount of data … frameworks to analyze complex phenomena that could be studied using Econophysics and resorting to big data. …

The purpose of this study is to find the influence of various macroeconomic factors on the volatility index, as … macroeconomic factors affect stock market volatility, resulting in an impact on the VIX Index, representing the risk in the stock … market. To estimate the significance and importance of the U.S. macroeconomic variables on stock market volatility and risk …

We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our … relationship between volatility and CSAD (cross sectional absolute deviation)/herding, a lower CSAD (movement in a specific … direction) brings about less volatility. However, a high volatility amplifies herding (reduces CSAD), especially in China …

indicate that (1) the volatility of a stock’s returns and its centrality measures in the stock network are the main sources … exposure compared to firms with lower ESG ratings and (3) COVID-19 augmented the partial effects of volatility, centrality …

trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …