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Warnings about future jumps : properties of the exponential Hawkes model
Foschi, Rachele; Lilla, Francesca; Mancini, Cecilia - 2020
Persistent link: https://www.econbiz.de/10012306820
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Dynamics of Price Clustering in an Emerging Stock Market
Baig, Ahmed S.; Chaudhry, Muhammad Imran; DeLisle, Jared - 2022
This paper examines the existence and drivers of price clustering on the Pakistan Stock Exchange (PSX), a market which was viewed as one of the best performing stock markets in the world during 2014-2017. We document abnormally high levels of stock price clustering, particularly on integer...
Persistent link: https://www.econbiz.de/10014236295
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Calibration of Stochastic Volatility Models on a Multi-Core CPU Cluster
Dixon, Matthew Francis - 2013
data. In order for the Black-Scholes implied volatility surface to exhibit the empirically observed skew or smile, a … stochastic volatility model can be used to compute the option greeks. Because the European price under many stochastic volatility … explores three parallelization approaches for calibrating stochastic volatility models deployed on a multicore CPU cluster. The …
Persistent link: https://www.econbiz.de/10013073479
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Gaussian clustering and jump-diffusion models of electricity prices : a deep learning analysis
Mari, Carlo; Mari, Emiliano - In: Decisions in economics and finance : a journal of … 44 (2021) 2, pp. 1039-1062
Persistent link: https://www.econbiz.de/10012795108
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Modeling price and variance jump clustering using the marked Hawkes process
Chen, Jian; Clements, Michael P.; Urquhart, Andrew - In: Journal of financial econometrics 22 (2024) 3, pp. 743-772
Persistent link: https://www.econbiz.de/10015045178
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Hierarchical Clustering Based Asset Allocation
Raffinot, Thomas - 2019
A hierarchical clustering based asset allocation method, which uses graph theory and machine learning techniques, is proposed. Hierarchical clustering refers to the formation of a recursive clustering, suggested by the data, not defined a priori. Several hierarchical clustering methods are...
Persistent link: https://www.econbiz.de/10012902888
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Equity clusters through the lens of realized semicorrelations
Bollerslev, Tim; Patton, Andrew J.; Zhang, Haozhe - In: Economics letters 211 (2022), pp. 1-5
Persistent link: https://www.econbiz.de/10013172536
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Dominating Randomness - Applications of State Contingent Stochastic Ordering Methods to the Clustering and Performance Measurement of Trading Strategies
Glaffig, Clemens - 2011
The rise in popularity of benchmark free and complex trading strategies throughout the last decade has made available a large variety of risk and performance profiles. As a consequence, to account for their complex performance characteristics, a lot of effort has been devoted to classify and...
Persistent link: https://www.econbiz.de/10013132027
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Financial Clusters, Industry Groups, and Stock Return Correlations
Fodor, Andy - 2017
Investors and analysts classify firms to conduct valuations or to evaluate performance. The industry groupings usually rely on SIC, NAIC, GICS, or Fama-French classifications. Our purpose is to form groups of companies based on the structure of their financial statements. Using cluster analysis,...
Persistent link: https://www.econbiz.de/10012954228
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An Analysis of Volatility Clustering of Equity Factor Strategies
Vojtko, Radovan; Cisár, Dominik - 2021
Volatility clustering is a well-known effect in equity markets. In simple meaning, volatility clustering refers to a … tested two hypotheses: (1) firstly, if there is a volatility clustering present in equity factor strategies, (2) secondly …, whether past factor volatility predicts future factor performance. We were able to confirm the first hypothesis. However, a …
Persistent link: https://www.econbiz.de/10014088883