scholarly journals A Novel Methodology to Calculate the Probability of Volatility Clusters in Financial Series: An Application to Cryptocurrency Markets

Mathematics ◽  
2020 ◽  
Vol 8 (8) ◽  
pp. 1216
Author(s):  
Venelina Nikolova ◽  
Juan E. Trinidad Segovia ◽  
Manuel Fernández-Martínez ◽  
Miguel Angel Sánchez-Granero
Keyword(s):  
Exchange Rates ◽  
Hurst Exponent ◽  
The Other ◽  
Explicit Criterion ◽  
Fixed Size ◽  
Similar Profile ◽  
Other Hand ◽  
High Volatility

One of the main characteristics of cryptocurrencies is the high volatility of their exchange rates. In a previous work, the authors found that a process with volatility clusters displays a volatility series with a high Hurst exponent. In this paper, we provide a novel methodology to calculate the probability of volatility clusters with a special emphasis on cryptocurrencies. With this aim, we calculate the Hurst exponent of a volatility series by means of the FD4 approach. An explicit criterion to computationally determine whether there exist volatility clusters of a fixed size is described. We found that the probabilities of volatility clusters of an index (S&P500) and a stock (Apple) showed a similar profile, whereas the probability of volatility clusters of a forex pair (Euro/USD) became quite lower. On the other hand, a similar profile appeared for Bitcoin/USD, Ethereum/USD, and Ripple/USD cryptocurrencies, with the probabilities of volatility clusters of all such cryptocurrencies being much greater than the ones of the three traditional assets. Our results suggest that the volatility in cryptocurrencies changes faster than in traditional assets, and much faster than in forex pairs.

Analysis of Long-Term Memory in the Mexican Exchange Market Using a Fuzzy Hurst Exponent: Does Intervention Matter?

2018 ◽  
Vol 26 (Suppl. 1) ◽  
pp. 71-92
Author(s):  
Klender Cortez ◽  
Martha Del Pilar Rodríguez
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Exchange Rates ◽  
Hurst Exponent ◽  
The Other ◽  
Long Term Memory ◽  
Exchange Market ◽  
Term Memory ◽  
Monetary Authorities

The following article aims to detect if long-term memory exists in the Mexican exchange rate market. This research was conducted between 1992 and 2016, during which time different intervention mechanisms were presented. The interventions were divided as follows: a) crawling bands (01/1992–12/1994), b) free flotation in crisis (01/1995–07/1996), c) mixed operations with purchases and sales of dollars by the Central Bank (08/1996–06/2001), d) free flotation (07/2001–04/2003), e) accumulation of international reserves (05/2003–02/2009, f) mixed auctions (03/2009–02/2016), and g) free flotation with interest rate increases (03/2016–12/2016). To detect the presence of long-term memory in the peso–dollar exchange rates, we proposed a fuzzy Hurst exponent. The results evidenced distinct types of behaviors depending on the grade of intervention. Compared to a free-floating regime, persistence and fuzzy Hurst values decreased when the Central Bank intervened in the exchange market. On the other hand, uncertainty increased when monetary authorities imposed a mechanism for buying and selling dollars without an exchange rate target.

The Exchange Rate, Interest Rates and the Current Balance ln a Forward-Looking Model

1988 ◽  
Vol 125 ◽  
pp. 40-45 ◽  
Author(s):  
Andrew Gurney
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Balance Of Payments ◽  
Capital Inflows ◽  
The Other ◽  
Other Hand ◽  
The Exchange Rate ◽  
Temporary Rise ◽  
Forward Looking

In March this year, after a year in which policy appeared to be aimed at achieving stability against EMS currencies, the pound was allowed to rise sharply in response to large capital inflows. As with many fluctuations in exchange rates, this development was puzzling in that the prospects for the balance of payments suggested that the rise in sterling would not prove sustainable. On the other hand, high UK interest rates, particularly in relation to those available in EMS countries, provided some rationale for a temporary rise. This note uses a simple forward-looking equation for the exchange rate to illustrate the implications of alternative paths for interest rates and the balance of payments. A number of simulations are presented to illustrate the key elements of this approach.

scholarly journals TWO-OPINIONS-DYNAMICS GENERATED BY INFLEXIBLES AND NON-CONTRARIAN AND CONTRARIAN FLOATERS

2019 ◽  
Vol 22 (04) ◽  
pp. 1950008 ◽  
Author(s):  
F. JACOBS ◽  
S. GALAM
Keyword(s):  
Majority Rule ◽  
Local Group ◽  
Current Approach ◽  
The Other ◽  
Flow Diagram ◽  
Fixed Size ◽  
Other Hand ◽  
The One ◽  
Competing Dynamics

We assume a community whose members adopt one of two opinions [Formula: see text] or [Formula: see text]. Each member appears as an inflexible, or as a non-contrarian or contrarian floater. An inflexible sticks to its opinion, whereas a floater may change into a floater of the alternative opinion. The occurrence of this change is governed by the local majority rule: members meet in groups of a fixed size, and a floater then changes its opinion provided it is a minority in the group. Subsequently, a non-contrarian floater keeps the opinion as adopted under the local majority rule, whereas a contrarian floater adopts the alternative opinion. Whereas the effects of on the one hand inflexibles and on the other hand non-contrarians and contrarians have previously been studied separately, the current approach allows us to gain insight in the effect of their combined presence in a community. Given fixed proportions of inflexibles [Formula: see text] for the two opinions, and fixed fractions of contrarians [Formula: see text] among the [Formula: see text] and [Formula: see text] floaters, we derive the update equation [Formula: see text] for the overall support for opinion [Formula: see text] at time [Formula: see text], given [Formula: see text]. The update equation is derived respectively for local group sizes 1, 2 and 3. The associated dynamics generated by repeated local updates is then determined to identify its asymptotic steady configuration. The full opinion flow diagram is thus obtained, showing conditions in terms of the parameters for each opinion to eventually win the competing dynamics. Various dynamical scenarios are thus exhibited, and it is derived that relatively small densities of inflexibles allow for more variation in the qualitative outcome of the dynamics than higher densities of inflexibles.

scholarly journals Transmisi Volatilitas antara Nilai Tukar dan Indeks Harga Saham Gabungan di Pasar Finansial Indonesia: Analisa Setelah Krisis Finansial Asia 1997

2020 ◽  
Vol 6 (3) ◽  
Author(s):  
Anhar Fauzan Priyono
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Composite Index ◽  
Asian Crisis ◽  
The Other ◽  
Var Model ◽  
Volatility Transmission ◽  
Other Hand ◽  
Us Dollar

Volatility of Indonesia Rupiah and Jakarta Composite Index remain one of main issues in Indonesia economy after 1997 Asian crisis. The objectives of this research are (1) determining the volatility of Indonesia Rupiah to US Dollar exchange rates and Jakarta Composite Index (JCI) and (2) analysing the dynamic volatility transmission between exchange rates and JCI. Exchange rate and JCI volatility were measured using GARCH(1,1) approach. Estimated using VAR model, this study found that current volatility of exchange rate (ER) respond significantly to the change of volatility of Jakarta Composite Index (JCI) in the previous 2 months. On the other hand, contribution of JCI volatility to ER is greater than ER volatility to JCI, supporting the portfolio balanced theory.

A study of cometary eruptions through OH radio-lines

1999 ◽  
Vol 173 ◽  
pp. 249-254
Author(s):  
A.M. Silva ◽  
R.D. Miró
Keyword(s):  
Short Duration ◽  
Growth Curves ◽  
The Other ◽  
Initial Mass ◽  
Radio Lines ◽  
Other Hand ◽  
Sudden Rise

AbstractWe have developed a model for theH2OandOHevolution in a comet outburst, assuming that together with the gas, a distribution of icy grains is ejected. With an initial mass of icy grains of 108kg released, theH2OandOHproductions are increased up to a factor two, and the growth curves change drastically in the first two days. The model is applied to eruptions detected in theOHradio monitorings and fits well with the slow variations in the flux. On the other hand, several events of short duration appear, consisting of a sudden rise ofOHflux, followed by a sudden decay on the second day. These apparent short bursts are frequently found as precursors of a more durable eruption. We suggest that both of them are part of a unique eruption, and that the sudden decay is due to collisions that de-excite theOHmaser, when it reaches the Cometopause region located at 1.35 × 105kmfrom the nucleus.

Closing the GAP—A 5Å Scanning Microscope

1969 ◽  
Vol 27 ◽  
pp. 6-7
Author(s):  
A. V. Crewe
Keyword(s):  
Normal Form ◽  
The Other ◽  
Resolving Power ◽  
Scanning Microscope ◽  
Conventional Microscope ◽  
Other Hand ◽  
Closing The Gap ◽  
Thermal Sources ◽  
Better Than ◽  
Transmission Microscope

We have become accustomed to differentiating between the scanning microscope and the conventional transmission microscope according to the resolving power which the two instruments offer. The conventional microscope is capable of a point resolution of a few angstroms and line resolutions of periodic objects of about 1Å. On the other hand, the scanning microscope, in its normal form, is not ordinarily capable of a point resolution better than 100Å. Upon examining reasons for the 100Å limitation, it becomes clear that this is based more on tradition than reason, and in particular, it is a condition imposed upon the microscope by adherence to thermal sources of electrons.

Life Beyond 1MeV

1980 ◽  
Vol 38 ◽  
pp. 30-33
Author(s):  
K.H. Westmacott
Keyword(s):  
Electron Microscopy ◽  
Past Experience ◽  
The Other ◽  
Good Case ◽  
Other Hand ◽  
The U.S

Life beyond 1MeV – like life after 40 – is not too different unless one takes advantage of past experience and is receptive to new opportunities. At first glance, the returns on performing electron microscopy at voltages greater than 1MeV diminish rather rapidly as the curves which describe the well-known advantages of HVEM often tend towards saturation. However, in a country with a significant HVEM capability, a good case can be made for investing in instruments with a range of maximum accelerating voltages. In this regard, the 1.5MeV KRATOS HVEM being installed in Berkeley will complement the other 650KeV, 1MeV, and 1.2MeV instruments currently operating in the U.S. One other consideration suggests that 1.5MeV is an optimum voltage machine – Its additional advantages may be purchased for not much more than a 1MeV instrument. On the other hand, the 3MeV HVEM's which seem to be operated at 2MeV maximum, are much more expensive.

Can the Academic Self-Concept be Positive and Realistic?

2005 ◽  
Vol 19 (3) ◽  
pp. 129-132 ◽  
Author(s):  
Reimer Kornmann
Keyword(s):  
Academic Performance ◽  
Opposite Effect ◽  
Self Esteem ◽  
Point Of View ◽  
The Other ◽  
Self Concept ◽  
High Ability ◽  
Self Image ◽  
Other Hand

Summary: My comment is basically restricted to the situation in which less-able students find themselves and refers only to literature in German. From this point of view I am basically able to confirm Marsh's results. It must, however, be said that with less-able pupils the opposite effect can be found: Levels of self-esteem in these pupils are raised, at least temporarily, by separate instruction, academic performance however drops; combined instruction, on the other hand, leads to improved academic performance, while levels of self-esteem drop. Apparently, the positive self-image of less-able pupils who receive separate instruction does not bring about the potential enhancement of academic performance one might expect from high-ability pupils receiving separate instruction. To resolve the dilemma, it is proposed that individual progress in learning be accentuated, and that comparisons with others be dispensed with. This fosters a self-image that can in equal measure be realistic and optimistic.

Stories and the Self

2020 ◽  
Vol 32 (2) ◽  
pp. 47-58 ◽  
Author(s):  
Stefan Krause ◽  
Markus Appel
Keyword(s):  
Meta Analysis ◽  
The Self ◽  
The Other ◽  
Lower Degree ◽  
Contrast Effects ◽  
Self Perception ◽  
Self Perceptions ◽  
Other Hand ◽  
The One ◽  
Implicit And Explicit

Abstract. Two experiments examined the influence of stories on recipients’ self-perceptions. Extending prior theory and research, our focus was on assimilation effects (i.e., changes in self-perception in line with a protagonist’s traits) as well as on contrast effects (i.e., changes in self-perception in contrast to a protagonist’s traits). In Experiment 1 ( N = 113), implicit and explicit conscientiousness were assessed after participants read a story about either a diligent or a negligent student. Moderation analyses showed that highly transported participants and participants with lower counterarguing scores assimilate the depicted traits of a story protagonist, as indicated by explicit, self-reported conscientiousness ratings. Participants, who were more critical toward a story (i.e., higher counterarguing) and with a lower degree of transportation, showed contrast effects. In Experiment 2 ( N = 103), we manipulated transportation and counterarguing, but we could not identify an effect on participants’ self-ascribed level of conscientiousness. A mini meta-analysis across both experiments revealed significant positive overall associations between transportation and counterarguing on the one hand and story-consistent self-reported conscientiousness on the other hand.

Don’t Put Me in This Group

2019 ◽  
Vol 50 (2) ◽  
pp. 80-93
Author(s):  
Jort de Vreeze ◽  
Christina Matschke
Keyword(s):  
Positive Emotions ◽  
Negative Emotions ◽  
Negative Information ◽  
The Self ◽  
The Other ◽  
Other Hand ◽  
Group Memberships

Abstract. Not all group memberships are self-chosen. The current research examines whether assignments to non-preferred groups influence our relationship with the group and our preference for information about the ingroup. It was expected and found that, when people are assigned to non-preferred groups, they perceive the group as different to the self, experience negative emotions about the assignment and in turn disidentify with the group. On the other hand, when people are assigned to preferred groups, they perceive the group as similar to the self, experience positive emotions about the assignment and in turn identify with the group. Finally, disidentification increases a preference for negative information about the ingroup.

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