Indices for Financial Market Volatility Obtained Through Fuzzy Regression

2018 ◽  
Vol 17 (06) ◽  
pp. 1659-1691 ◽  
Author(s):  
Silvia Muzzioli ◽  
Luca Gambarelli ◽  
Bernard De Baets

The measurement of volatility is of fundamental importance in finance. Standard market practice adopted for volatility estimation from option prices leads to a considerable loss of information and the introduction of an element of arbitrariness in the volatility index computation. We propose to adopt fuzzy regression methods in order to include all the available information from option prices, and to obtain an informative volatility index. In fact, the obtained fuzzy volatility indices not only offer a most possible value, but also a lower and an upper bound for the interval of possible values, providing investors with an additional source of information. We also propose a defuzzification procedure to select a representative value within this interval. Moreover, we investigate the occurrence of truncation and discretization errors in volatility index computation by adopting an interpolation-extrapolation method. We also test the forecasting power of each volatility index on future realized volatility.

2004 ◽  
Vol 07 (07) ◽  
pp. 901-907
Author(s):  
ERIK EKSTRÖM ◽  
JOHAN TYSK

There are two common methods for pricing European call options on a stock with known dividends. The market practice is to use the Black–Scholes formula with the stock price reduced by the present value of the dividends. An alternative approach is to increase the strike price with the dividends compounded to expiry at the risk-free rate. These methods correspond to different stock price models and thus in general give different option prices. In the present paper we generalize these methods to time- and level-dependent volatilities and to arbitrary contract functions. We show, for convex contract functions and under very general conditions on the volatility, that the method which is market practice gives the lower option price. For call options and some other common contracts we find bounds for the difference between the two prices in the case of constant volatility.


Author(s):  
Nataliia Horodniuk ◽  

The relevance of the monograph is determined, first of all, by the fact that contemporary national literatures are increasingly interacting with each other through translation, and thus the need to consider translated works in comparison with the originals is increasing. Studying the features and patterns of the literary translation is an important area of modern comparative studies. The work focuses on ways of preserving the national and cultural component of the translated text. The works of M. Gogol, Lesia Ukrainka, I. Franko, F. Dostoievskyi, R. Kipling, and J. Conrad were analyzed according to this aspect. A comparative idea of a dialogue is proposed. It is noted that translation is a broad dialogic process between the author and the reader through the interpreter, which includes reception and interpretation. Literary translation is interpreted as the basis for establishing a dialogue between the text and the interpreter, as an expression of the meaning that flows through the prism of the translating consciousness and enriches it, as a co-creation of the writer and interpreter, the purpose of which is mutual understanding, and the result of this understanding is the text-translation. Attention is paid to the issue of intertextuality as a translation problem. Despite the understanding of intertextuality as the interaction between the texts by different authors (text in text) and the interrelation between different works of one author, the thesis proposes to expand the scope of interpretation of this term, adding to it also different interpretations of one work in the same language. In the monograph the problem of reception and interpretation of literary text is considered in the imagological aspect. In particular, the study of reception and interpretation of other national character in a foreign language discourse plays an important role. Foreign language reception and interpretation of laughter culture in general and «Gogol laughter» in particular are thoroughly investigated. A deep analysis of the works of M. Gogol and F. Dostoevsky made it possible to conclude that the carnival colour of Gogol's «pure, folk-festive» laughter and the parody and comic intonation of F. Dostoevsky during translation give rise to certain problems of preserving their identity. It is noted that the perception of colour in a literary work is a peculiar way of interpreting it, and the semantic nuances of colour markings in one language or another require the problem of the reception adequacy and the interpretation of colour when translating from language to language. The practical importance of the monograph is determined by the possibility of using its basic provisions and results as an additional source of information for further comprehension of the translational paradigm in the comparative dimension.


2014 ◽  
Vol 09 (03) ◽  
pp. 1450006 ◽  
Author(s):  
CHUONG LUONG ◽  
NIKOLAI DOKUCHAEV

The paper studies methods of dynamic estimation of volatility for financial time series. We suggest to estimate the volatility as the implied volatility inferred from some artificial "dynamically purified" price process that in theory allows to eliminate the impact of the stock price movements. The complete elimination would be possible if the option prices were available for continuous sets of strike prices and expiration times. In practice, we have to use only finite sets of available prices. We discuss the construction of this process from the available option prices using different methods. In order to overcome the incompleteness of the available option prices, we suggests several interpolation approaches, including the first order Taylor series extrapolation and quadratic interpolation. We examine the potential of the implied volatility derived from this proposed process for forecasting of the future volatility, in comparison with the traditional implied volatility process such as the volatility index VIX.


2012 ◽  
Vol 19 (2) ◽  
pp. 103-107 ◽  
Author(s):  
France Labrèche ◽  
Bruce W Case ◽  
Gaston Ostiguy ◽  
Jean Chalaoui ◽  
Michel Camus ◽  
...  

BACKGROUND: Pleural mesothelioma is a rare tumour associated with exposure to asbestos fibres. Fewer than than one-quarter of cases registered in the Quebec Tumour Registry (QTR) have been compensated as work-related. While establishing a surveillance system, this led to questioning as to whether there has been over-registration of cases that are not authentic pleural mesotheliomas in the QTR.OBJECTIVE: To assess whether registered cases of pleural mesothelioma could be confirmed.METHODS: A medical chart review was designed to assess the proportion of mesothelioma cases newly registered in the QTR in 2001/2002 that could be confirmed. For each registered case, clinical, medical imaging and pathology information were sought and, occasionally, additional immunohistochemistry staining was obtained. Three specialists – a chest physician, a radiologist and a pathologist – reviewed the available information and material, coding each mesothelioma case as to degree of certainty of the mesothelioma diagnosis.RESULTS: The QTR reported 190 incident cases of mesothelioma (81% males) for the period. The specialists classified 81% of charts as ‘certain/probable’or ‘possible’ mesotheliomas, 8% as ‘unlikely to be a mesothelioma’ and 11% as ‘not a mesothelioma’. After excluding chart summaries of unsatisfactory quality, 87% to 88% of the charts were classified as ‘certain/probable’ or ‘possible’ mesotheliomas, and 9% to 11% were still considered ‘not a mesothelioma’.CONCLUSION: Tumour registry data are a valid source of information for mesothelioma surveillance. While there is some over-registration of mesothelioma cases in the QTR, a significant majority of registered cases appeared to be authentic. Over-registration cannot explain the greater proportion of cases that were not compensated.


2010 ◽  
Vol 9 (1) ◽  
pp. 73-86 ◽  
Author(s):  
Samuel D. Mandelman ◽  
Mei Tan ◽  
Sergey A. Kornilov ◽  
Robert J. Sternberg ◽  
Elena L. Grigorenko

Self-concept—more specifically academic self-concept—and its connection to academic achievement have long been studied. It has been widely accepted that one’s self-concept is formed through interaction with one’s environment and significant others. Here we suggest that an internal metacognitive component of self-concept is also critical to its development. This hypothesis is investigated here by the development of a metacognitive-academic self-concept scale as part of a larger battery based on Sternberg’s triarchic model of successful intelligence. The academic self-concept scale’s psychometric properties, with respect to both children and adults, and its correlations with a group-administered cognitive assessment are presented. Additionally, a series of Q-factor analyses of the results on the scale are provided, revealing multiple distinguishable academic self-concept profiles. Collectively, these data suggest that a self-concept scale regarding one’s abilities can provide an additional source of information for the cognitive profiles of students.


Sensors ◽  
2021 ◽  
Vol 21 (24) ◽  
pp. 8242
Author(s):  
Raoul R. Nigmatullin ◽  
Vadim S. Alexandrov

In the first time we apply the statistics of the complex moments for selection of an optimal pressure sensor (from the available set of sensors) based on their statistical/correlation characteristics. The complex moments contain additional source of information and, therefore, they can realize the comparison of random sequences registered for almost identical devices or gadgets. The proposed general algorithm allows to calculate 12 key correlation parameters in the significance space. These correlation parameters allow to realize the desired comparison. New algorithm is rather general and can be applied for a set of other data if they are presented in the form of rectangle matrices. Each matrix contains N data points and M columns that are connected with repetitious cycle of measurements. In addition, we want to underline that the value of correlations evaluated with the help of Pearson correlation coefficient (PCC) has a relative character. One can introduce also external correlations based on the statistics of the fractional/complex moments that form a complete picture of correlations. To the PCC value of internal correlations one can add at least 7 additional external correlators evaluated in the space of fractional and complex moments in order to realize the justified choice. We do suppose that the proposed algorithm (containing an additional source of information in the complex space) can find a wide application in treatment of different data, where it is necessary to select the “best sensors/chips” based on their measured data, presented usually in the form of random rectangle matrices.


2017 ◽  
Vol 2 (3) ◽  
pp. 87-91 ◽  
Author(s):  
Alia Karim Abdul Hassan ◽  
Ahmed Bahaa Aldeen Abdulwahhab

recommender system nowadays is used to deliver services and information to users. A recommender system is suffering from problems of data sparsity and cold start because of insufficient user rating or absence of data about users or items. This research proposed a sentiment analysis system work on user reviews as an additional source of information to tackle data sparsity problems. Sentiment analysis system implemented using NLP techniques with machine learning to predict user rating form his review; this model is evaluated using Yelp restaurant data set, IMDB reviews data set, and Arabic qaym.com restaurant reviews data set under various classification model, the system was efficient in predicting rating from reviews.


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