Showing 1 - 10 of 16
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks and continuous updates of the investors' beliefs and sentiments. The conditional expected returns...
Persistent link: https://www.econbiz.de/10003970340
We present a new theory of homogeneous volatility (and variance) estimators for arbitrary stochastic processes. The main tool of our theory is the parsimonious encoding of all the information contained in the OHLC prices for a given time interval by the joint distributions of the high-minusopen,...
Persistent link: https://www.econbiz.de/10003971110
We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, high and low prices of incomplete bridge, corresponding to given log-price stochastic process,...
Persistent link: https://www.econbiz.de/10003971317
Persistent link: https://www.econbiz.de/10010520461
We present a careful analysis of possible issues of the application of the self-excited Hawkes process to high-frequency financial data and carefully analyze a set of effects that lead to significant biases in the estimation of the "criticality index'' n that quantifies the degree of endogeneity...
Persistent link: https://www.econbiz.de/10010257507
We introduce a novel description of the dynamics of the order book of financial markets as that of an effective colloidal Brownian particle embedded in fluid particles. The analysis of a comprehensive market data enables us to identify all motions of the fluid particles. Correlations between the...
Persistent link: https://www.econbiz.de/10010337982
We present the first calibration of quantum decision theory (QDT) to an empirical data set. The data comprise 91 choices between two lotteries (two "prospects") presented in 91 random pairs made by 142 subjects offered at two separated times. First, we quantitatively account for the fraction of...
Persistent link: https://www.econbiz.de/10011516615
We introduce a new measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes are due to endogenous feedback processes, as opposed to exogenous news. For this, we calibrate the self-excited conditional...
Persistent link: https://www.econbiz.de/10009561617
Persistent link: https://www.econbiz.de/10001698113
Persistent link: https://www.econbiz.de/10001543111