. The volatility processes are examined based on the squared and the absolute values of the returns series, and the … stability of the parameters across time is also investigated in both the level and the volatility processes. A method that …

The formation of price in a financial market is modelled as a chain of Ising spin with three fundamental figures of … volatility signal, typical of the real market data. …

intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential …, where the ‘temperature’ fluctuates slowly. The model generally yields a fat-tailed distribution of the price change … intraday data of foreign exchange market. The so-called ‘volatility’, a quantity indicating the risk or activity in financial …

the long-time limit. We find that the volatility for prices shows a power-law with anomalous scaling exponents κ=0.92 (1 …

We consider a multidimensional Itô process Y=(Yt)t∈[0,T] with some unknown drift coefficient process bt and volatility … change point problem for the parameter θ in the volatility component. The change is supposed to occur at some point t∗∈(0,T …

the volatility, the jump measure and its Blumenthal–Getoor index in a non- or semiparametric manner. Asymptotically as n …

” reduces the total trading volume and price volatility, and improves the trend chasers’ welfare when trend-chasing is strong … day. We develop a dynamic price manipulation model to study the effects of the “T+1 trading rule”. Compared to the “T+0 …

This paper presents instrumental variables estimates of the effects of GDP per capita volatility on the size of … government. We show that for a panel of 157 countries spanning more than half a century, rainfall volatility has a significant … positive effect on GDP per capita volatility in countries with above median temperatures. In these countries rainfall …

pricing regime had a significant effect on the iron ore price? The quantitative analysis uses monthly data between January … 2003 and August 2012. The overall results show that when including transportation costs to the price series we do not find … regime does not have a significant impact on the iron ore price in the econometric model. Iron ore prices, GDP growth in …