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Asymmetric volatility, volatility clustering, and herding agents with a borrowing constraint

Yamamoto, Ryuichi - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 6, pp. 1208-1214

Recent empirical research has documented asymmetric volatility and volatility clustering in stock markets. We conjecture that a limit of arbitrage due to a borrowing constraint and herding behavior by investors are related to these phenomena. This study conducts simulation analyses on a spin...

Persistent link: https://www.econbiz.de/10010874314

Intraday price dynamics in spot and derivatives markets

Kim, Jun Sik; Ryu, Doojin - In: Physica A: Statistical Mechanics and its Applications 394 (2014) C, pp. 247-253

This study examines intraday relationships among the spot index, index futures, and the implied volatility index based on the VAR(1)-asymmetric BEKK-MGARCH model. Analysis of a high-frequency dataset from the Korean financial market confirms that there is a strong intraday market linkage between...

Persistent link: https://www.econbiz.de/10010719728

Artificial neural network model of the hybrid EGARCH volatility of the Taiwan stock index option prices

Tseng, Chih-Hsiung; Cheng, Sheng-Tzong; Wang, Yi-Hsien; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 13, pp. 3192-3200

This investigation integrates a novel hybrid asymmetric volatility approach into an Artificial Neural Networks option-pricing model to upgrade the forecasting ability of the price of derivative securities. The use of the new hybrid asymmetric volatility method can simultaneously decrease the...

Persistent link: https://www.econbiz.de/10010873706

The investigation of model selection criteria in artificial neural networks by the Taguchi method

Tortum, Ahmet; Yayla, Nadir; Çelik, Cafer; Gökdağ, Mahir - In: Physica A: Statistical Mechanics and its Applications 386 (2007) 1, pp. 446-468

Artificial neural networks (ANNs) have been successfully used for solving variety of problems. One major disadvantage of ANNs is that there is no formal systematic model building approach. This paper presents the application of the Taguchi method in the optimization of the design parameters of...

Persistent link: https://www.econbiz.de/10011061872

Nonextensive statistical mechanics for hybrid learning of neural networks

Anastasiadis, Aristoklis D.; Magoulas, George D. - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 3, pp. 372-382

This paper introduces a new hybrid approach for learning systems that builds on the theory of nonextensive statistical mechanics. The proposed learning scheme uses only the sign of the gradient, and combines adaptive stepsize local searches with global search steps that make use of an annealing...

Persistent link: https://www.econbiz.de/10010589636

Nonlinear GARCH model and 1/f noise

Kononovicius, A.; Ruseckas, J. - In: Physica A: Statistical Mechanics and its Applications 427 (2015) C, pp. 74-81

interest of the researchers. In this contribution we consider the well known GARCH(1,1) process and its nonlinear modifications … GARCH processes in consideration. We find the obtained equations to be similar to a general class of stochastic differential … equations known to reproduce power law statistics. We show that linear GARCH(1,1) process has power law distribution, but its …

Persistent link: https://www.econbiz.de/10011209648

Financial time series modeling using the Hurst exponent

Tzouras, Spilios; Anagnostopoulos, Christoforos; McCoy, Emma - In: Physica A: Statistical Mechanics and its Applications 425 (2015) C, pp. 50-68

This study aims to enhance the understanding of logarithmic asset returns. In particular, more emphasis is given to the long memory property of financial returns, a well documented stylized fact. However, in the presence of structural breaks other studies suggest that statistical tools such as...

Persistent link: https://www.econbiz.de/10011209656

Testing for rational bubbles in banking indices

Cajueiro, Daniel O.; Tabak, Benjamin M. - In: Physica A: Statistical Mechanics and its Applications 366 (2006) C, pp. 365-376

countries, after adjusting for GARCH effects, suggests that for more than 69% of these indices, the hypothesis of no unit root …

Persistent link: https://www.econbiz.de/10010871958

Financial volatility: Issues and measuring techniques

Daly, Kevin - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 11, pp. 2377-2393

spawned an ever increasing variety of models such as GARCH, EGARCH, NARCH, ARCH-M MARCH and the Taylor–Schwert model. The …

Persistent link: https://www.econbiz.de/10010872571

Modelling price dynamics: A hybrid truncated Lévy Flight–GARCH approach

Constantinides, A.; Savel’ev, S.E. - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 9, pp. 2072-2078

ARCH and GARCH stochastic processes are widely used in finance and are generally accepted as good approximations when … for asset price changes seems to more closely fit a Truncated Lévy Flight or GARCH model, but each with individual … shortfalls. In this paper therefore, we combine the GARCH process with a conditional truncated Lévy distribution in order to …

Persistent link: https://www.econbiz.de/10010872579