A "compass rose" pattern sometimes appears when stock returns are plotted against themselves with a one-day lag, since stock prices move in discrete steps. In this paper, we perform a Monte Carlo study on simulated stock price series rounded in different ways to mirror the behavior of stocks on...

I use Google News TM to study the relation between news volumes and stock market volatilities. More than nine million stock market-related news stories in English and (Mandarin) Chinese are collected and the dynamics of the news volume and the stock market volatility is compared in both the...

Financial risk management typically deals with low probability events in the tails of asset price distributions. In order to capture the behavior of these tails, one should therefore rely on models that explicitly focus on the tails. Extreme value theory (EVT) based models do exactly that, and...

A "compass rose" pattern sometimes appears when stock returns are plotted against themselves with a one-day lag, since stock prices move in discrete steps. In this paper, we perform a Monte Carlo study on simulated stock price series rounded in different ways to mirror the behavior of stocks on...

Nord Pool, the first multinational exchange for electricity trading, has existed since January 1996. Typical characteristics of electricity prices on Nord Pool are a very high volatility and a large number of very large, or extreme, price changes. In this paper we look at hourly spot prices on...

I use Google News TM to study the relation between news volumes and stock market volatilities. More than nine million stock market-related news stories in English and (Mandarin) Chinese are collected and the dynamics of the news volume and the stock market volatility is compared in both the...