scholarly journals From microscopic price dynamics to multidimensional rough volatility models

2021 ◽  
Vol 53 (2) ◽  
pp. 425-462
Author(s):  
Mathieu Rosenbaum ◽  
Mehdi Tomas
Keyword(s):  
Price Formation ◽  
Financial Assets ◽  
Correlation Matrices ◽  
Volatility Models ◽  
Microscopic Models ◽  
Joint Dynamics ◽  
Microscopic Features ◽  
Rough Volatility

AbstractRough volatility is a well-established statistical stylized fact of financial assets. This property has led to the design and analysis of various new rough stochastic volatility models. However, most of these developments have been carried out in the mono-asset case. In this work, we show that some specific multivariate rough volatility models arise naturally from microstructural properties of the joint dynamics of asset prices. To do so, we use Hawkes processes to build microscopic models that accurately reproduce high-frequency cross-asset interactions and investigate their long-term scaling limits. We emphasize the relevance of our approach by providing insights on the role of microscopic features such as momentum and mean-reversion in the multidimensional price formation process. In particular, we recover classical properties of high-dimensional stock correlation matrices.

MODELING THE VOLATILITY FOR LONG TERM INTEREST RATE RETURNS IN THE NIGERIA BOND MARKET USING CONDITIONALY HETEROSCEDASTIC MODELS

2020 ◽  
Vol 15 (1) ◽  
pp. 46-56
Author(s):  
Sunday Olaniyan ◽  
Hamadu Dallah
Keyword(s):  
Risk Management ◽  
Interest Rate ◽  
Interest Rates ◽  
Estimation Method ◽  
Likelihood Estimation ◽  
Suitable Model ◽  
Financial Assets ◽  
Modeling Process ◽  
Volatility Models

Investigating the volatility of financial assets is fundamental to risk management. This study used generalized Autoregressive Conditional Heteroscedastic Volatility models to evaluate the volatility of the long term interest rate of Nigeria's financial market. We also incorporated three innovations distributions viz: the Gaussian, the student-t, and the Generalized Error Distribution (GED) in the modeling process under the maximum likelihood estimation method. The results show that GARCH (GED) is the most performing model for describing the volatility of three and twenty-year interest rate returns while TARCH (GED) is the most suitable model for describing the volatility of five and ten-year interest rate returns in Nigeria. The preferred models will help in the development of tools for effective risk management by monitoring the behavior of long term interest rates.  

scholarly journals On cointegration and cryptocurrency dynamics

2021 ◽  
Author(s):  
Georg Keilbar ◽  
Yanfen Zhang
Keyword(s):  
Correction Model ◽  
Vector Error Correction ◽  
Statistical Arbitrage ◽  
Dynamic Setting ◽  
Vector Error ◽  
Out Of Sample ◽  
Joint Dynamics ◽  
Arbitrage Trading

AbstractThis paper aims to model the joint dynamics of cryptocurrencies in a nonstationary setting. In particular, we analyze the role of cointegration relationships within a large system of cryptocurrencies in a vector error correction model (VECM) framework. To enable analysis in a dynamic setting, we propose the COINtensity VECM, a nonlinear VECM specification accounting for a varying systemwide cointegration exposure. Our results show that cryptocurrencies are indeed cointegrated with a cointegration rank of four. We also find that all currencies are affected by these long term equilibrium relations. The nonlinearity in the error adjustment turned out to be stronger during the height of the cryptocurrency bubble. A simple statistical arbitrage trading strategy is proposed showing a great in-sample performance, whereas an out-of-sample analysis gives reason to treat the strategy with caution.

scholarly journals INVESTMENT OPPORTUNITIES OF CRYPTOCURRENCY (ON THE EXAMPLE OF BITCOIN)

2021 ◽  
Vol 31 (4) ◽  
pp. 583-589
Author(s):  
E.I. Kozlova ◽  
D.A. Bessonova
Keyword(s):  
Financial Institutions ◽  
Financial Assets ◽  
Technological Changes ◽  
Dialectical Approach ◽  
Blockchain Technology ◽  
Investment Opportunities ◽  
Current Sample ◽  
Digital Assets

The article analyzes the changes taking place in the investment market due to the emergence of innovative blockchain technology and cryptocurrencies, which are increasingly used as alternative investments in the management of a securities portfolio, along with traditional types of financial assets, such as money, bonds and shares. The methodological basis of the study is a dialectical approach that provides an understanding of the interdependence of technological changes and the rethinking of the role of fractional, decentralized, fluid assets with lower settlement risk, which are digital assets, in comparison with the traditional payment system in fiat currencies. The available current sample period of the cryptocurrency Index (CRIX) is too small to fully explore the investment opportunities of cryptocurrencies. In addition, the evaluation of cryptocurrencies is very different from the evaluation of traditional investment tools. There is also no clarity on the development of blockchain technology in the long term. At the same time, even today, the success of several cryptocurrencies (in particular, bitcoin) exerts competitive pressure on transaction methods from existing financial institutions [1], which determines the need for forecasting and analyzing price movements in the cryptocurrency markets. The article offers a sequence of actions for evaluating the profitability of investments on the example of bitcoin.

Towards an Intrinsic Relationship between Diffusion Coefficients and Microscopic Features of Cements ?

2000 ◽  
Vol 663 ◽  
Author(s):  
P. Lovera ◽  
C. Galle ◽  
P. Le Bescop
Keyword(s):  
Diffusion Coefficients ◽  
Chemical Compounds ◽  
Water Diffusion ◽  
Mass Ratio ◽  
Microscopic Features ◽  
Long Term Behavior ◽  
Simple Modeling

ABSTRACTLong-term behavior of cemented waste packages requires the knowledge of water diffusion coefficients (water is supposed to be the main degradation agent, by solubilization of some chemical compounds). A simple modeling, based on the use of hydration code CEMHYD3D is proposed and validated for pure OPC pastes (sound or degraded) at mass ratio water / cement lying between 0.25 and 0.65. The nature of the porosity available for diffusion and the role of residual anhydrous compounds are discussed.

Abusive head trauma (AHT) outcome at long-term follow-up and the role of elective neurosurgical approach: A report of 22 cases

2013 ◽  
Author(s):  
Francesca Menegazzo ◽  
Melissa Rosa Rizzotto ◽  
Martina Bua ◽  
Luisa Pinello ◽  
Elisabetta Tono ◽  
...  
Keyword(s):  
Head Trauma ◽  
Abusive Head Trauma ◽  
Long Term Follow Up

The Second Start of Transformation in Ukraine?

2014 ◽  
pp. 30-52 ◽  
Author(s):  
L. Grigoryev ◽  
E. Buryak ◽  
A. Golyashev
Keyword(s):  
Economic Growth ◽  
Armed Conflict ◽  
Political Crisis ◽  
Investment Climate ◽  
Institutional Reforms ◽  
Personal Consumption ◽  
Governance Quality ◽  
Political Turmoil

The Ukrainian socio-economic crisis has been developing for years and resulted in the open socio-political turmoil and armed conflict. The Ukrainian population didn’t meet objectives of the post-Soviet transformation, and people were disillusioned for years, losing trust in the state and the Future. The role of workers’ remittances in the Ukrainian economy is underestimated, since the personal consumption and stability depend strongly on them. Social inequality, oligarchic control of key national assets contributed to instability as well as regional disparity, aggravated by identity differences. Economic growth is slow due to a long-term underinvestment, and prospects of improvement are dependent on some difficult institutional reforms, macro stability, open external markets and the elites’ consensus. Recovering after socio-economic and political crisis will need not merely time, but also governance quality improvement, institutions reform, the investment climate revival - that can be attributed as the second transformation in Ukraine.

Thoughts on the Long-Term Strategy, Science and Democracy

2006 ◽  
pp. 4-19 ◽  
Author(s):  
L. Abalkin
Keyword(s):  
Strategy Development ◽  
Russian Science ◽  
Global Trends ◽  
The World ◽  
World Development ◽  
Crucial Condition

The article covers unified issues of the long-term strategy development, the role of science as well as democracy development in present-day Russia. The problems of budget proficit, the Stabilization Fund issues, implementation of the adopted national projects, an increasing role of regions in strengthening the integrity and prosperity of the country are analyzed. The author reveals that the protection of businessmen and citizens from the all-embracing power of bureaucrats is the crucial condition of democratization of the society. Global trends of the world development and expert functions of the Russian science are presented as well.

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