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By computing a volatility index (CVX) from cryptocurrency option prices, we analyze this market's expectation of future volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable market implied volatilities. Two alternative...
Persistent link: https://www.econbiz.de/10014501763
arises, the debate is on. Derivatives especially, which are among the major innovations of the past thirty years, cause deep … concerns. In this paper, we propose a survey of the academic literature that has addressed the threats posed by derivatives. An … initial issue is the impact of derivatives on the volatility of the underlying assets, but empirical findings do not suggest …
Persistent link: https://www.econbiz.de/10008725877
Credit Derivatives are securities that offer protection against credit or default risk of bonds or loans. The credit … derivatives emerging market has grown rapidly and credit derivatives are widely used. This paper describes the emerging credit … derivatives market structure. The current market activity is analyzed through elementary pricing dynamics and the study of the …
Persistent link: https://www.econbiz.de/10005772228
In line with the recent research and debates about econophysics and financial economics, this article discusses on … econophysics, the methodology used by financial economists is frequently considered as a top-down approach (starting from a priori …-up approach. Although this dualist perspective is very common in the econophysics literature, this paper claims that the …
Persistent link: https://www.econbiz.de/10012907171
The relative efficiency of financial markets can be evaluated using algorithmic complexity theory. Using this approach we detect decreases in efficiency rates of the major stocks listed on the Sao Paulo Stock Exchange in the aftermath of the 2008 financial crisis.
Persistent link: https://www.econbiz.de/10009643980
cross-disciplines, particularly from the econophysics have banded together to consolidate and diffuse the application of the … complex systems theory in the economics and further discusses the methodological contribution of the econophysics in the area … of stock market. To date, the complex systems theory and the methodologies from the econophysics are well-established as …
Persistent link: https://www.econbiz.de/10012966774
We find evidence of weak informational efficiency in the Brazilian daily foreign exchange market using Hurst exponents (Hurst 1951, 1955, Feder 1988), which offer an alternative (from statistical physics) to traditional econometric gauges. We show that a trend toward efficiency has been reverted...
Persistent link: https://www.econbiz.de/10005094549
Econophysics and Artificial Intelligence (Antonio Simeone) -- Chapter 7. The adoption of digital euro and perspective (Francesco … technological innovations such as derivatives and cryptocurrencies in monetary and financial management, the role of monetary policy …
Persistent link: https://www.econbiz.de/10014331013
We study the effects of securitization on renegotiation of distressed residential mortgages over the current financial crisis. Unlike prior studies, we employ unique data that directly observe lender renegotiation actions and cover more than 60% of the U.S. mortgage market. Exploiting...
Persistent link: https://www.econbiz.de/10010292147
The meltdown in residential real-estate prices that commenced in 2006 resulted in unprecedented mortgage delinquency rates. Until mid-2009, lenders and servicers pursued their own individual loss mitigation practices without being significantly influenced by government intervention. Using a...
Persistent link: https://www.econbiz.de/10010292190