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Reverse Engineering Financial Markets with Majority and MinorityGames using Genetic Algorithms

WIESINGER, Judith; SORNETTE, Didier; SATINOVER, Jeffrey

Using virtual stock markets with artificial interacting software in- vestors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial markets as made of a large number of interacting boundedly rational agents. By op- timizing...

Persistent link: https://www.econbiz.de/10008922903

The new approaches in econometric research of financial markets. Distributed volatility

Tinyakova, V. I. - In: Review of Applied Socio-Economic Research 4 (2012) 2, pp. 247-255

negative part of volatility, but unlike VaR, describes volatility dynamics. So it allows forecast calculation of the financial …Volatility is one of the most important characteristics of any financial instrument return. The idea which states that … volatility of financial assets and it corresponds well with the efficient market hypothesis. Therefore, all volatility models use …

Persistent link: https://www.econbiz.de/10010599754

Volatility under Bounded Rationality

Le, Nhat - Development and Policies Research Center (Depocen) - 2009

to information arrivals and hence, volatility can be forecast, based on the up-to-date information. However, when the …. When new information arrives, the market's expectations change. Therefore, prices fluctuate. Thus, price volatility is due … frame work to study risk and return, so that, we can gain a better understanding of market volatility. …

Persistent link: https://www.econbiz.de/10005006809

Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask

Fantazzini, Dean; Geraskin, Petr - Volkswirtschaftliche Fakultät, … - 2011

Sornette et al. (1996), Sornette and Johansen (1997), Johansen et al. (2000) and Sornette (2003a) proposed that, prior to crashes, the mean function of a stock index price time series is characterized by a power law decorated with log-periodic oscillations, leading to a critical point that...

Persistent link: https://www.econbiz.de/10011113835

Risk spillovers in international equity portfolios

Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - In: Journal of Empirical Finance 24 (2013) C, pp. 121-137

assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an …

Persistent link: https://www.econbiz.de/10010729486

Risk spillovers in international equity portfolios

Caporin, Massimiliano; Ranaldo, Angelo; Bonato, Matteo - Schweizerische Nationalbank (SNB) - 2012

assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an …

Persistent link: https://www.econbiz.de/10010542047

Risk Spillovers in International Equity Portfolios

Bonato, Mateo; Caporin, Massimiliano; Ranaldo, Angelo - School of Finance, Universität St. Gallen - 2012

assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an …

Persistent link: https://www.econbiz.de/10010713843

Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation

Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - Tinbergen Instituut - 2013

Accurate prediction of risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) requires precise estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part of the predictive density: the censored posterior, a...

Persistent link: https://www.econbiz.de/10011255481

Modeling Fat Tails in Stock Returns : A Multivariate Stable-GARCH Approach

Bonato, Matteo - 2009

In this paper a new multivariate volatility model is proposed. It combines the appealing properties of the stable … Paretian distribution to model the heavy tails with the GARCH model to capture the volatility clustering. We assume that …

Persistent link: https://www.econbiz.de/10012721196

The Discriminant Analysis: an Exploratory Study Concerning the Degree of Financial Autonomy of Companies in the Context of the Romanian Business Environment

Mironiuc, Marilena; Robu, Mihaela-Alina; Robu, Ioan-Bogdan - In: Studies and Scientific Researches. Economics Edition (2010) 15

This study aims at analyzing the evolution of financial autonomy on a sample of 80 companies quoted in the Bucharest Stock Exchange, between 2006-2008. Classically, financial autonomy is measured using the global and day-to-day rates of financial autonomy. However, this study has tested the...

Persistent link: https://www.econbiz.de/10008470733