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driving. complex systems ; econophysics ; exogenous ; versus endogenous ; high-frequency trading ; criticality ; trading …
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We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to … is the central topic of this study. We propose a detailed survey of recent volatility models, accounting for multiple … stochastic volatility model families and often borrow methodological tools from statistical physics. We compare their properties …
Persistent link: https://www.econbiz.de/10013158884
We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high-frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between trades are not exponentially distributed. Here we show...
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into maturity and volatility relativistic effects. …
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In this paper, we present a threshold model to describe the phenomena of zero return enhancement that is present in Australian Stock Exchange data. We examine the intraday behaviour of the ASX data and construct a new measure for the market activity using principal component analysis. We use...
Persistent link: https://www.econbiz.de/10010872407