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Multiplicative methodology for assessing investment attractiveness and risk for industries

Vertakova, Yulia; Klevtsova, Maria; Zadimidchenko, Anna - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-9

complexity, the solution of which is associated with attracting investments and forming an investment policy that takes into … related to the study of the investment attractiveness of industries and the level of risk of investing in them, including … multiplicative methodology for assessing investment attractiveness and risk for individual industries. The methodological basis of …

Persistent link: https://www.econbiz.de/10013471497

Non-Equilibrium Skewness, Market Crises, and Option Pricing : Non-Linear Langevin Model of Markets with Supersymmetry

Halperin, Igor - 2021

This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach.Due to non-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are mapped onto an equivalent quantum mechanical (QM)...

Persistent link: https://www.econbiz.de/10013251128

GARCH Modeling of Cryptocurrencies

Chu, Jeffrey - 2017

With the exception of Bitcoin, there appears to be little or no literature on GARCH modeling of cryptocurrencies. This paper provides the first GARCH modeling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency and their fits are assessed in terms of...

Persistent link: https://www.econbiz.de/10012946406

Continuous Time Macro-Finance, Financial Transactions and Waves

Olkhov, Victor - 2017

ratings of agents play role of their coordinates x on economic space. Financial variables of agents like Investment or Assets …

Persistent link: https://www.econbiz.de/10012956145

Financial Econometrics - R Tutorial Guidance

Wang, Yizhi; Vigne, Samuel - 2021

Persistent link: https://www.econbiz.de/10013223934

Incomplete Market and Information Relevance Response to the No Believer on Self Finance Replication Strategy

Kamtchueng, Christian - 2014

Black and Scholes is an institution in quantitative finance. The main innovation was in the existence of a self financing portfolio which is able to replicate the (supposedly smooth) price process of a contingent claim.Clearly established as representation model via the market implied...

Persistent link: https://www.econbiz.de/10013047687

Market expectations and option prices : evidence for the Can$/US$ exchange rate

García, Alejandro; Prokopiw, Andrei - 2010

Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods. The authors...

Persistent link: https://www.econbiz.de/10003951236

Modeling dependencies in finance using copulae

Härdle, Wolfgang (contributor); Okhrin, Ostap (contributor) - 2008

general setup we discuss and provide an intensive literature review of estimation and simulation techniques. Separate section …

Persistent link: https://www.econbiz.de/10003727552

Understanding Jumps in High Frequency Digital Asset Markets

Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - 2021

While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market digital asset returns are driven by high frequency jumps...

Persistent link: https://www.econbiz.de/10013323741

Arbitrage Opportunities in Diverse Markets via a Non-Equivalent Measure Change

Osterrieder, Joerg - 2017

We study arbitrage opportunities in diverse markets as introduced by R. Fernholz in [Fer99]. By a change of measure technique we are able to generate a variety of diverse markets. The construction is based on an absolutely continuous, but nonequivalent measure change which implies the existence...

Persistent link: https://www.econbiz.de/10012954502