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Deep learning, jumps, and volatility bursts
Bashchenko, Oksana; Marchal, Alexis - 2020
We develop a new method that detects jumps nonparametrically in financial time series and significantly outperforms the … generated by a process that experiences both jumps and volatility bursts. As a result, the network learns how to disentangle the …: we obtain fewer spurious detection and identify a larger number of true jumps. When applied to real data, our approach …
Persistent link: https://www.econbiz.de/10012181300
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Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013
We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps …-capitalization stocks traded on the Euronext-Paris Bourse. We find that, at tick frequency, the overnight return, the intraday jumps, and … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …
Persistent link: https://www.econbiz.de/10010256970
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High-frequency jump analysis of the bitcoin market
Scaillet, Olivier; Treccani, Adrien; Trevisan, Christopher - 2017
trader identifiers at a tick transaction level. Jumps are frequent events and they cluster in time. The order flow imbalance … and the preponderance of aggressive traders, as well as a widening of the bid-ask spread predict them. Jumps have short …
Persistent link: https://www.econbiz.de/10011762219
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Hedge fund performance under misspecified models
Ardia, David; Barras, Laurent; Gagliardini, Patrick; … - 2020 - This version: July 27, 2020
We develop a new approach for evaluating performance across hedge funds. Our approach allows for performance comparisons between models that are misspecified – a common feature given the numerous factors that drive hedge fund returns. The empirical results show that the standard models used in...
Persistent link: https://www.econbiz.de/10012419384
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Arbitrage free dispersion
Orlowski, Piotr; Sali, Andras; Trojani, Fabio - 2018 - This version: August 10, 2018
We develop a theory of arbitrage-free dispersion (AFD) that characterizes the testable restrictions of asset pricing models. AFD measures Jensen's gap in the cumulant generating function of pricing kernels and returns. It implies a wide family of model-free dispersion constraints, which extend...
Persistent link: https://www.econbiz.de/10012003245
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Spanning tests for Markowitz stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2018 - Current draft: January 2018
Using properties of the cdf of a random variable defined as a saddle-type point of a real valued continuous stochastic process, we derive first-order asymptotic properties of tests for stochastic spanning w.r.t. a stochastic dominance relation. First, we define the concept of Markowitz...
Persistent link: https://www.econbiz.de/10011877232
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The cross-sectional distribution of fund skill measures
Barras, Laurent; Gagliardini, Patrick; Scaillet, Olivier - 2018 - This version, October 18, 2018
We develop a novel approach to jointly examine skill, scale, and value added across individual funds. We find that the value added is (i) positive for the vast majority of funds, and (ii) close to its optimal level after an adjustment period possibly due to investors' learning. We also show that...
Persistent link: https://www.econbiz.de/10011937106
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Spanning analysis of stock market anomalies under prospect stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...
Persistent link: https://www.econbiz.de/10012219063
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On the nature of jump risk premia
Orlowski, Piotr; Schneider, Paul; Trojani, Fabio - 2019
We propose a model-free method for measuring the jump skewness risk premium via a tradingstrategy. We find that in the S&P 500 option market, the premium is positive and greater inabsolute terms than the variance premium. The trading strategy allows for examining the premiumin different holding...
Persistent link: https://www.econbiz.de/10012051990
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Extreme-quantile tracking for financial time series
Chavez-Demoulin, Valérie; Embrechts, Paul; Sardy, Sylvain - 2011
Time series of financial asset values exhibit well known statistical features such as heavy tails and volatility clustering. Strongly present in some series, nonstationarity is a feature that has been somewhat overlooked. This may however be a highly relevant feature when estimating extreme...
Persistent link: https://www.econbiz.de/10009273102