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Quantifying reflexivity in financial markets : towards a prediction of flash crashes
Filimonov, Vladimir; Sornette, Didier - 2012
exogenous influences with self-excited dynamics, to the E-mini S&P 500 futures contracts traded in the Chicago Mercantile …
Persistent link: https://www.econbiz.de/10009561617
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Response speeds of direct and securitized real estate to shocks in the fundamentals
Oikarinen, Elias; Hoesli, Martin; Serrano, Camilo - 2010
account of the influence of fundamentals on real estate market dynamics. Moreover, we consider the influence of the ‘escrow …
Persistent link: https://www.econbiz.de/10008797757
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Linkages between direct and securitized real estate
Oikarinen, Elias; Hoesli, Martin; Serrano, Camilo - 2009
Using data for the 1978-2008 period, this study presents evidence for cointegration between securitized (NAREIT) and direct (NCREIF) total return indices. Cointegration between the indices indicates that REITs and direct real estate are substitutable in the portfolio of a long-horizon...
Persistent link: https://www.econbiz.de/10003970466
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A flexible regime switching model for asset returns
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - 2019
estimation via quasi-Bayesian priors. It is shown that use of Markov switching correlation dynamics not only leads to highly …
Persistent link: https://www.econbiz.de/10012051878
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Robust desmoothed real estate returns
Delfim, Jean-Christophe; Hoesli, Martin - 2019
This research starts from the observation that common desmoothing models are likely to generate some extreme returns. Such returns will distort risk measurement and hence can lead to investment decisions that are suboptimal relative to those that would be made if a transaction based index were...
Persistent link: https://www.econbiz.de/10012052120
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A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - 2019
matrix dynamics are driven by the leading factors in a principle component decomposition. Each of these leading factors is …
Persistent link: https://www.econbiz.de/10012134234
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Intra-horizon expected shortfall and risk structure in models with jumps
Farkas, Walter; Mathys, Ludovic; Vasiljević, Nikola - 2019
modeling market dynamics and constitutes a coherent measure of risk, as introduced in [CDK04]. On the computational side, we … provide a simple method to derive the intra-horizon risk inherent to popular Levy dynamics. Our general technique relies on … contributions. These theoretical results are complemented with an empirical analysis, where popular Levy dynamics are calibrated to …
Persistent link: https://www.econbiz.de/10012179511
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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 current benchmark on simulated data. We use a long short- term memory (LSTM) neural network that is trained on labelled data generated by a process that experiences both jumps...
Persistent link: https://www.econbiz.de/10012181300
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Geometric step options with jumps : parity relations, PIDEs, and semi-analytical pricing
Farkas, Walter; Mathys, Ludovic - 2020
The present article studies geometric step options in exponential Lévy markets. Our contribution is manifold and extends several aspects of the geometric step option pricing literature. First, we provide symmetry and parity relations and derive various characterizations for both European-type...
Persistent link: https://www.econbiz.de/10012181323
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Predicting financial market crashes using ghost singularities
Smug, Damian; Ashwin, Peter; Sornette, Didier - 2017
We analyse the behaviour of a non-linear model of coupled stock and bond prices exhibiting periodically collapsing bubbles. By using the formalism of dynamical system theory, we explain what drives the bubbles and how foreshocks or aftershocks are generated. A dynamical phase space...
Persistent link: https://www.econbiz.de/10011762259