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Author : Sam Howison
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (93 download)
Download or read book Trading Volume and Stochastic Volatility written by Sam Howison and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Eckhard Platen
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (448 download)
Download or read book A Financial Market Model with Trading Volume and Stochastic Volatility written by Eckhard Platen and published by . This book was released on 1999 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jean-Pierre Fouque
Publisher : Cambridge University Press
ISBN 13 : 9780521791632
Total Pages : 222 pages
Book Rating : 4.7/5 (916 download)
Download or read book Derivatives in Financial Markets with Stochastic Volatility written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2000-07-03 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.
Author : Jeff Fleming
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (129 download)
Download or read book Stochastic Volatility, Trading Volume, and the Daily Flow of Information written by Jeff Fleming and published by . This book was released on 2009 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use state-space methods to investigate the relation between volume, volatility, and ARCH effects within a Mixture-of-Distributions Hypothesis (MDH) framework. In most recent studies of the MDH, the information flow or its logarithm is modeled as an AR(1) process. We argue that this is too restrictive because it requires the information flow to be highly persistent. Using a more general process, we find evidence of a large nonpersistent component of return volatility that is closely related to the contemporaneous nonpersistent component of trading volume. However, unlike previous studies that fit volume-augmented GARCH models, we find no evidence that trading volume subsumes ARCH effects. Because volume-augmented GARCH models are subject to simultaneity bias, our findings should be more robust than these prior results.
Author : Sadayuki Ono
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (129 download)
Download or read book Option Pricing Under Stochastic Volatility and Trading Volume written by Sadayuki Ono and published by . This book was released on 2005 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a pricing formula for European options that is derived from a model in which changes in the underlying price and trading volumes are jointly determined by exogenous events. The joint determination of volume and price changes provides a crucial link between volatility of the price process and an observable variable. The model works as follows: the process of information arrival (news) is taken to be a point process that induces simultaneous jumps in price and trading volume. In addition, price has a diffusion component that corresponds to background noise, and the parameter that governs the volatility of this component is a continuously weighted average of past trading volume. This specification makes increments to the volatility process depend on the current level of volatility and news and thereby accounts for the observed persistence in volatility. Moreover, it makes volatility an observable instead of a latent variable, as it is in the usual stochastic volatility setups. Options can be priced as in the Heston framework by inverting the conditional characteristic function of underlying price at expiration. We find that the model accounts well for time varying volatility smiles and term structures and that out-of-sample price forecasts for a sample of stock options are superior not only to those of standard stochastic volatility models but even to the benchmark ad hoc procedure of plugging current implicit volatilities into the Black-Scholes formula.
Author : Joann Jasiak
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Stochastic Volatility and Time Deformation written by Joann Jasiak and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we study stochastic volatility models with time deformation. Such processes relate to the early work by Mandelbrot and Taylor (1967), Clark (1973), Tauchen and Pitts (1983), among others. In our setup, the latent process of stochastic volatility evolves in an operational time which differs from calendar time. The time deformation can be determined by past volume of trade, past returns, possibly with an asymmetric leverage effect, and other variables setting the pace of information arrival. The econometric specification exploits the state-space approach for stochastic volatility models proposed by Harvey, Ruiz and Shephard (1994) as well as the matching moment estimation procedure using SNP densities of stock returns and trading volume estimated by Gallant, Rossi and Tauchen (1992). Daily data on returns and trading volume of the NYSE are used in the empirical application. Supporting evidence for a time deformation representation is found and its impact on the behavior of returns and volume is analyzed. We find that increases in volume accelerate operational time, resulting in volatility being less persistent and subject to shocks with a higher innovation variance. Downward price movements have similar effects while upward price movements increase the persistence in volatility and decrease the dispersion of shocks by slowing down market time. We present the basic model as well as several extensions; in particular, we formulate and estimate a bivariate return-volume stochastic volatility model with time deformation. The latter is examined through bivariate impulse response profiles following the example of Gallant, Rossi and Tauchen (1993).
Author : Torben G. Andersen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Return Volatility and Trading Volume written by Torben G. Andersen and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: An empirical model for the return volatility-trading volume system is developed from a mircostructure framework in which informational asymmetries and liquidity needs motivate trade in response to the arrival of new information. The specification modifies the quot;Mixture of Distribution Hypothesisquot; (MDH). The dynamic features of the system are governed by the information flow, modeled as a stochastic volatility process that generalizes successful ARCH specifications. The persistence of volatility is fairly low, hinting at a quot;robustifyingquot; impact of including volume in the system. Speciification tests support the modified specification and show that it outperforms the standard MDH.
Author : Ghysels, Eric
Publisher : Montréal : CIRANO
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (424 download)
Download or read book Stochastic Volatility and Time Deformation : an Application of Trading Volume and Leverage Effects written by Ghysels, Eric and published by Montréal : CIRANO. This book was released on 1994 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Torben G. Andersen
Publisher :
ISBN 13 :
Total Pages : 273 pages
Book Rating : 4.:/5 (632 download)
Download or read book Return Volatility and Trading Volume in Financial Markets written by Torben G. Andersen and published by . This book was released on 1993 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Neil Shephard
Publisher : Oxford University Press, USA
ISBN 13 : 0199257205
Total Pages : 534 pages
Book Rating : 4.1/5 (992 download)
Download or read book Stochastic Volatility written by Neil Shephard and published by Oxford University Press, USA. This book was released on 2005 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This work brings together some of the main papers that have influenced this field, andshows that the development of this subject has been highly multidisciplinary.
Author : Lorenzo Bergomi
Publisher : CRC Press
ISBN 13 : 1482244071
Total Pages : 520 pages
Book Rating : 4.4/5 (822 download)
Download or read book Stochastic Volatility Modeling written by Lorenzo Bergomi and published by CRC Press. This book was released on 2015-12-16 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does c
Author : Archil Gulisashvili
Publisher : Springer Science & Business Media
ISBN 13 : 3642312144
Total Pages : 371 pages
Book Rating : 4.6/5 (423 download)
Download or read book Analytically Tractable Stochastic Stock Price Models written by Archil Gulisashvili and published by Springer Science & Business Media. This book was released on 2012-09-04 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asymptotic analysis of stochastic stock price models is the central topic of the present volume. Special examples of such models are stochastic volatility models, that have been developed as an answer to certain imperfections in a celebrated Black-Scholes model of option pricing. In a stock price model with stochastic volatility, the random behavior of the volatility is described by a stochastic process. For instance, in the Hull-White model the volatility process is a geometric Brownian motion, the Stein-Stein model uses an Ornstein-Uhlenbeck process as the stochastic volatility, and in the Heston model a Cox-Ingersoll-Ross process governs the behavior of the volatility. One of the author's main goals is to provide sharp asymptotic formulas with error estimates for distribution densities of stock prices, option pricing functions, and implied volatilities in various stochastic volatility models. The author also establishes sharp asymptotic formulas for the implied volatility at extreme strikes in general stochastic stock price models. The present volume is addressed to researchers and graduate students working in the area of financial mathematics, analysis, or probability theory. The reader is expected to be familiar with elements of classical analysis, stochastic analysis and probability theory.
Author : Robert A. Meyers
Publisher : Springer Science & Business Media
ISBN 13 : 1441977007
Total Pages : 919 pages
Book Rating : 4.4/5 (419 download)
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Author : Pierre Collin-Dufresne
Publisher :
ISBN 13 :
Total Pages : 51 pages
Book Rating : 4.:/5 (13 download)
Download or read book Insider Trading, Stochastic Liquidity and Equilibrium Prices written by Pierre Collin-Dufresne and published by . This book was released on 2016 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks to uninformed volume even though the fundamental value is constant. The volatility of price volatility appears 'excessive' because insiders choose to trade more aggressively (and thus more information is revealed) when uninformed volume is higher and price impact is lower. This generates a positive relation between price volatility and trading volume giving rise to an endogenous subordinate stochastic process for prices.
Author : Neil Shephard
Publisher : OUP Oxford
ISBN 13 : 0191531421
Total Pages : 536 pages
Book Rating : 4.1/5 (915 download)
Download or read book Stochastic Volatility written by Neil Shephard and published by OUP Oxford. This book was released on 2005-03-10 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This book brings together some of the main papers that have influenced the field of the econometrics of stochastic volatility, and shows that the development of this subject has been highly multidisciplinary, with results drawn from financial economics, probability theory, and econometrics, blending to produce methods and models that have aided our understanding of the realistic pricing of options, efficient asset allocation, and accurate risk assessment. A lengthy introduction by the editor connects the papers with the literature.
Author : Mr.Noureddine Krichene
Publisher : International Monetary Fund
ISBN 13 : 1451854846
Total Pages : 30 pages
Book Rating : 4.4/5 (518 download)
Download or read book Modeling Stochastic Volatility with Application to Stock Returns written by Mr.Noureddine Krichene and published by International Monetary Fund. This book was released on 2003-06-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion. Filtering showed highly volatile markets, reflecting frequent pertinent news. Diagnostics showed no model failure, although specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential value for market participants in asset pricing and risk management, as well as for policymakers in the design of macroeconomic policies conducive to less volatile financial markets.
Author : Ai-ru Meg Cheng
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (552 download)
Download or read book Return, Trading Volume, and Market Depth in Currency Futures Markets written by Ai-ru Meg Cheng and published by . This book was released on 2008 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
