use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use … of numerical methods for pricing, hedging, and risk management of financial instruments. …

impact of such concepts, e.g. effects on the price formation or the volatility of prices, a simulation environment is … market prices. On the other hand, lower latency appears to lower market volatility. -- Algorithmic Trading ; Simulation … conducted by comparing different simulation runs including and excluding a trader constituting an algorithmic trading model in …

-type market simulation in a discrete-time, one-asset world. We analyse both the observable factors average bid-offer spread and … volatility as well as the unobservable distribution of profits and losses of the market participants. We conclude that regarding …

growth and dynamic nature require robust methods for modeling their volatility. The Generalized Auto Regressive Conditional … Heteroskedasticity (GARCH) model is a well-known mathematical tool for predicting volatility. Nonetheless, the Realized-GARCH model has … been particularly under-explored in the literature involving cryptocurrency volatility. This study emphasizes an …

simulation-based methods. In this paper, we examine the Filtered Historical Simulation (FHS) model introduced by Barone-Adesi et …: “Does the assumption on innovation process play an important role for the Filtered Historical Simulation model?”. For this …