crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby … regimes with high volatility originate from the fact that speculators extract stronger trading signals out of past stock price …

driving. complex systems ; econophysics ; exogenous ; versus endogenous ; high-frequency trading ; criticality ; trading …

The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism … for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by … volatility models of asset returns. An intra-day data set for five major international stock market indices is used to evaluate …

Investors recently are really concerned about the risk aspects associated with the investment in securities. Volatility … used to forecast volatility. One such model is the different variants of the Econometric model. Along with it the use of … Econophysics methods is also helpful for the same. Understanding a better model of the forecast is what investors are looking …

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 …