We study a special form of securities market circuit breaker, i.e., European volatility interruptions. Instead of halt trading like traditional circuit breaker, these short-living call auctions allow for continual price discovery after price limit hits. Based upon approximately 1,800 Xetra volatility interruption events from 01/2009 to 01/2012, we empirically assess whether such auctions contri...

In many emerging stock markets, price limits are imposed on the magnitude of daily price movements. Price limit advocates claim that such limits serve as "circuit breakers" and decrease stock price volatility. Critics argue that the limits cause supply and demand imbalances in trading. Consequently, they prevent immediate corrections in price and increase the volatility of the opening return on...

The article studies the theoretical and practical approaches related to allocation of oil revenues for public investment. Based on two-step Engel-Granger procedure cointegration analysis, relationship between ratio capital expenditures state budget non-oil GDP logarithm real prices in Azerbaijan is investigated. It has been determined that investment highly dependent price, volatility price als...

In order to understand the origin of stock price jumps, we crosscorrelate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wide news can explain the frequency and amplitude of price jumps. We find that the volatility patterns around jumps and around news are quite different: jumps are followed by increased volatility, wher...

This paper estimates optimal hedging ratios for a Finnish spring wheat producer under price and yield uncertainty. The contract available for hedging fixes the price and quantity at the time of sowing for a delivery at harvest. Autoregressive models are used to obtain point forecasts for the conditional mean price and price volatility at harvest. Expected yield and yield volatility are estimate...

a r t i c l e i n f o JEL classification: C52 C53 Q47 Keywords: Oil prices Futures markets Stochastic processes Kalman filter Forecasting Stochastic process models of commodity prices are important inputs in energy investment evaluation and planning problems. In this paper, we focus on modeling and forecasting the long-term price level, since it is the dominant factor in many such applications....

Jaume Masoliver‡ Departament de F́ısica Fonamental, Universitat de Barcelona, Diagonal, 647, E-08028 Barcelona, Spain (Dated: May 28, 2008) Abstract We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffusion model proposed is a two-dimensional market process that takes a ...

Given the price of a call or put option, the Black-Scholes implied volatility is the unique volatility parameter for which the Bulack-Scholes formula recovers the option price. This article surveys research activity relating to three theoretical questions: First, does implied volatility admit a probabilistic interpretation? Second, how does implied volatility behave as a function of strike and ...