Microscopic models for long ranged volatility correlations
نویسندگان
چکیده
منابع مشابه
On a Universal Mechanism for Long Ranged Volatility Correlations
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between ‘active’ and ‘inactive’ strategies is subordinated to random-walk like processes. We numerically demonstrate our scenario in the framework of simplified market models, such as the Minority Game model with an ...
متن کاملWork Probability Distribution for a Ferromagnet with Long-ranged and Short- Ranged Correlations
Work fluctuations and work probability distributions are fundamentally different in systems with shortranged versus long-ranged correlations. Specifically, in systems with long-ranged correlations the work distribution is extraordinarily broad compared to systems with shortranged correlations. This difference profoundly affects the possible applicability of fluctuation theorems like the Jarzyns...
متن کاملSemiparametric Multivariate GARCH Models for Volatility Asymmetries and Dynamic Correlations
We propose a simple class of semiparametric multivariate GARCH models, allowing for asymmetric volatilities and time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of estimates for averaged correlations (across all assets) and dynamic realized (historical) correlations. Our model is very parsimonious. Estima...
متن کاملLong-ranged contributions to solvation free energies from theory and short-ranged models.
Long-standing problems associated with long-ranged electrostatic interactions have plagued theory and simulation alike. Traditional lattice sum (Ewald-like) treatments of Coulomb interactions add significant overhead to computer simulations and can produce artifacts from spurious interactions between simulation cell images. These subtle issues become particularly apparent when estimating thermo...
متن کاملIndirect Estimation of Long Memory Volatility Models
An indirect estimator is proposed for two long memory volatility models; the fractionally integrated generalised autoregressive conditional heteroskedasticity (FIGARCH) model and the long memory stochastic volatility (LMSV) model. The small sample properties of the indirect estimator are compared to the small sample properties of conventional maximum likelihood estimators. It is found that the ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2001
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(01)00280-1