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Multifractal Volatility

Multifractal Volatility
  • Author : Laurent E. Calvet
  • Publsiher : Academic Press
  • Release : 13 October 2008
  • ISBN : 9780080559964
  • Pages : 272 pages
  • Rating : 4/5 from 1 ratings
GET THIS BOOKMultifractal Volatility

Summary:
Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. Presents a powerful new technique for forecasting volatility Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research


Multifractal Volatility

Multifractal Volatility
  • Author : Laurent E. Calvet,Adlai J. Fisher
  • Publisher : Academic Press
  • Release : 13 October 2008
GET THIS BOOKMultifractal Volatility

Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages

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Research on Volatility and Contagion Effect in Stock Market

Research on Volatility and Contagion Effect in Stock Market
  • Author : Dexiang Mei,Wang Chen,Yunyun Sun
  • Publisher : Scientific Research Publishing, Inc. USA
  • Release : 06 December 2020
GET THIS BOOKResearch on Volatility and Contagion Effect in Stock Market

The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes the following four parts.

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Multifractal Based Network Traffic Modeling

Multifractal Based Network Traffic Modeling
  • Author : Murali Krishna P,Vikram M. Gadre,Uday B. Desai
  • Publisher : Springer Science & Business Media
  • Release : 06 December 2012
GET THIS BOOKMultifractal Based Network Traffic Modeling

This helpful book provides an overview of existing broadband traffic modelling based on the Poisson process and its variants. It also offers very good coverage of models based on self-similar processes. The authors have focused throughout on the problem of broadband traffic modelling.

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The Oxford Handbook of Computational Economics and Finance

The Oxford Handbook of Computational Economics and Finance
  • Author : Shu-Heng Chen,Mak Kaboudan,Ye-Rong Du
  • Publisher : Oxford University Press
  • Release : 12 January 2018
GET THIS BOOKThe Oxford Handbook of Computational Economics and Finance

The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing,

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Fractal Geometry and Dynamical Systems in Pure and Applied Mathematics II

Fractal Geometry and Dynamical Systems in Pure and Applied Mathematics II
  • Author : David Carfi,Michel L. Lapidus,Erin P. J. Pearse,Machiel van Frankenhuijsen
  • Publisher : American Mathematical Soc.
  • Release : 24 October 2013
GET THIS BOOKFractal Geometry and Dynamical Systems in Pure and Applied Mathematics II

This volume contains the proceedings from three conferences: the PISRS 2011 International Conference on Analysis, Fractal Geometry, Dynamical Systems and Economics, held November 8-12, 2011 in Messina, Italy; the AMS Special Session on Fractal Geometry in Pure and Applied Mathematics, in memory of Benoît Mandelbrot, held January 4-7, 2012, in Boston, MA; and the AMS Special Session on Geometry and Analysis on Fractal Spaces, held March 3-4, 2012, in Honolulu, HI. Articles in this volume cover fractal geometry and various aspects of dynamical

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Multifractal Detrended Analysis Method and Its Application in Financial Markets

Multifractal Detrended Analysis Method and Its Application in Financial Markets
  • Author : Guangxi Cao,Ling-Yun He,Jie Cao
  • Publisher : Springer
  • Release : 18 February 2018
GET THIS BOOKMultifractal Detrended Analysis Method and Its Application in Financial Markets

This book collects high-quality papers on the latest fundamental advances in the state of Econophysics and Management Science, providing insights that address problems concerning the international economy, social development and economic security. This book applies the multi-fractal detrended class method, and improves the method with different filters. The authors apply those methods to a variety of areas: financial markets, energy markets, gold market and so on. This book is arguably a systematic research and summary of various kinds of multi-fractal

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Dynamical Systems with Applications using MATLAB®

Dynamical Systems with Applications using MATLAB®
  • Author : Stephen Lynch
  • Publisher : Springer
  • Release : 22 July 2014
GET THIS BOOKDynamical Systems with Applications using MATLAB®

This textbook, now in its second edition, provides a broad introduction to both continuous and discrete dynamical systems, the theory of which is motivated by examples from a wide range of disciplines. It emphasizes applications and simulation utilizing MATLAB®, Simulink®, the Image Processing Toolbox® and the Symbolic Math toolbox®, including MuPAD. Features new to the second edition include · sections on series solutions of ordinary differential equations, perturbation methods, normal forms, Gröbner bases, and chaos synchronization; · chapters on image processing

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Forecasting the Volatility of Stock Market and Oil Futures Market

Forecasting the Volatility of Stock Market and Oil Futures Market
  • Author : Dexiang Mei,Feng Ma
  • Publisher : Scientific Research Publishing, Inc. USA
  • Release : 17 December 2020
GET THIS BOOKForecasting the Volatility of Stock Market and Oil Futures Market

The volatility has been one of the cores of the financial theory research, in addition to the stock markets and the futures market are an important part of modern financial markets. Forecast volatility of the stock market and oil futures market is an important part of the theory of financial markets research.

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The New Palgrave Dictionary of Economics

The New Palgrave Dictionary of Economics
  • Author : NA NA
  • Publisher : Springer
  • Release : 18 May 2016
GET THIS BOOKThe New Palgrave Dictionary of Economics

The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.

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Handbook of High-Frequency Trading and Modeling in Finance

Handbook of High-Frequency Trading and Modeling in Finance
  • Author : Ionut Florescu,Maria C. Mariani,H. Eugene Stanley,Frederi G. Viens
  • Publisher : John Wiley & Sons
  • Release : 29 March 2016
GET THIS BOOKHandbook of High-Frequency Trading and Modeling in Finance

Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities with high-frequency financial data. Introducing new and established mathematical foundations necessary to analyze realistic market models and scenarios, the handbook begins with a presentation of the dynamics and complexity of futures and derivatives markets as well as a portfolio optimization problem using quantum computers. Subsequently, the handbook addresses

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Advances in Pacific Basin Business, Economics and Finance

Advances in Pacific Basin Business, Economics and Finance
  • Author : Cheng-Few Lee,Min-Teh Yu
  • Publisher : Emerald Group Publishing
  • Release : 09 September 2020
GET THIS BOOKAdvances in Pacific Basin Business, Economics and Finance

Advances in Pacific Basin Business, Economics, and Finance is an annual publication designed to focus on interdisciplinary research in finance, economics, accounting and management among Pacific Rim countries.

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