We introduce the jump intensity and investor sentiment from the Hawkes and Contact processes to forecast Realized Range-based Volatility using high frequency intraday data. Investor sentiment factor is added to the benchmark models, which are Heterogeneous Auto-Regressive with Continuous...

We introduce the jump intensity and investor sentiment from the Hawkes and Contact processes to forecast Realized Range-based Volatility using high frequency intraday data. Investor sentiment factor is added to the benchmark models, which are Heterogeneous Auto-Regressive with Continuous...

This paper presents an agent-based simulation model of carbon emission trading market with heterogeneous agents. The carbon emission reduction strategies available to agents are production output adjustment strategy, carbon market emissions trading strategy, carbon emission abatement technology...

This paper combines multi-asset pricing model with network theory to study multiasset pricing in the holding-based network. We obtain a new expression of equilibrium price by inducing the network parameter. To testify the practical significance of our model of real asset prices, we fit the...