Realized moments of higher order computed from intraday returns are introduced in recent years. The literature indicates that realized skewness is an important factor in explaining future asset returns. However, the literature mainly focuses on the whole market and on the monthly or weekly scale. In this paper, we cond…
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48 results for “Realized skewness”
Skewness dispersion predicts future stock market returns, especially in months with monetary policy announcements.
problem Predicting future stock market returns using skewness dispersion.
method Cross-sectional analysis of firm-level realized skewness and stock market returns.
result Skewness dispersion is a significant predictor of future stock market returns, robust to various estimation methods.
Study various submanifolds in quaternionic skew-Hermitian spaces.
problem Characterize submanifolds in almost quaternionic skew-Hermitian manifolds.
method Construct explicit examples of submanifolds in semisimple quaternionic skew-Hermitian symmetric spaces.
result Explicit examples of submanifolds for each type considered.
Bayesian realized EGARCH models improve tail risk forecasting.
problem Forecasting tail risks in financial markets.
method Developed a Bayesian framework for realized EGARCH models, incorporating multiple realized volatility measures and using robust adaptive Metropolis algorithm for estimation.
result Standardized skewed Student-t distribution and sub-sampled realized range models outperform other models in tail risk forecasting.
Study shows different types of volatility and skewness changes affect stock prices.
problem Different types of volatility and skewness changes affect stock prices.
method Used intraday data for individual stocks to analyze cross-section of asset returns.
result Idiosyncratic transitory and persistent shocks to volatility and skewness are priced differently in stock returns.
Analyzes multi-day stock returns, showing linear volatility and mean dependence.
problem Linear dependence of volatility and mean in accumulated stock returns.
method Modified Jones-Faddy skew t-distribution analysis.
result Linear dependence of volatility and mean on the number of days of accumulation.
We study Nijenhuis structures on Courant algebroids in terms of the canonical Poisson bracket on their symplectic realizations. We prove that the Nijenhuis torsion of a skew-symmetric endomorphism N of a Courant algebroid is skew-symmetric if the square of N is proportional to the identity, and only in this case when t…
Accumulated stock returns exhibit tempered skew t-distribution.
problem Analyzing the distribution of stock returns over multiple days.
method Employing a tempered skew t-distribution model.
result Tempered skew t-distribution fits the distribution of accumulated stock returns well.
We show that the skew-symmetrized product on every Leibniz algebra E can be realized on a reductive complement to a subalgebra in a Lie algebra. As a consequence, we construct a nonassociative multiplication on E which, when E is a Lie algebra, is derived from the integrated adjoint representation. We apply this constr…
Let R be an algebraic curvature tensor for a non-degenerate inner product of signature(p,q) where q>4. If is a spacelike 2 plane, let be the associated skew-symmetric curvature operator. We classify the algebraic curvature tensors so R(-) has constant rank 2 and show these are geometrically realizable by hyp…
On smile properties of volatility derivatives and exotic products: understanding the VIX skewq-fin.MF
We develop a method to study the implied volatility for exotic options and volatility derivatives with European payoffs such as VIX options. Our approach, based on Malliavin calculus techniques, allows us to describe the properties of the at-the-money implied volatility (ATMI) in terms of the Malliavin derivatives of t…
We construct geometric realization for non-exceptional mutation-finite cluster algebras by extending the theory of Fomin and Thurston to skew-symmetrizable case. Cluster variables for these algebras are renormalized lambda lengths on certain hyperbolic orbifolds. We also compute growth rate of these cluster algebras, p…
We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift. The realized third and fourth moments variations computed from high frequency return series are good approximations to corresponding actual …
We show how the quantum trace map of Bonahon and Wong can be constructed in a natural way using the skein algebra of Muller, which is an extension of the Kauffman bracket skein algebra of surfaces. We also show that the quantum Teichmüller space of a marked surface, defined by Chekhov-Fock (and Kashaev) in an abstract …
The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise featureless processes such as random walks. The bias stems from the selection o…
This paper proposes a new RV prediction model using neural distributional transformation and co-training.
problem Predicting skewed and fat-tailed realized volatility (RV) is challenging.
method The paper uses a neural distributional transformation and co-training to predict RV. It jointly trains the transformation and prediction model using a maximum-likelihood objective function.
result The proposed method significantly outperforms other methods on a dataset of 100 stocks.
The paper defines MTCov for skewed elliptical distributions.
problem No specific problem stated, but dealing with skewed elliptical distributions.
method Defined MTCov for generalized skew-elliptical distributions and compared with skewed and non-skewed normal distributions.
result Special formula for MTCov of generalized skew-elliptical distributions.
An analysis of multivariate measures of skewness and kurtosis of skew-elliptical distributionsmath.ST
The paper analyzes skewness and kurtosis measures for skew-elliptical distributions.
problem Examining skewness and kurtosis measures for skew-elliptical distributions.
method Deriving exact expressions for skewness and kurtosis measures for skew-elliptical distributions, constructing test statistics, and comparing measures through simulations and real data analysis.
result Exact expressions and test statistics for skewness and kurtosis measures for various skew-elliptical distributions.
Develops a GMM method to estimate roughness in stochastic volatility models.
problem Estimating roughness in stochastic volatility models with fractional Brownian motion.
method GMM approach for log-normal models with integrated variance and noisy realized variance.
result Consistent and asymptotically normal parameter estimator with bias correction.
The paper calculates moments and conditional risks for skewed elliptical distributions.
problem Estimating moments and tail conditional risks for skewed elliptical distributions.
method Derives explicit expressions for multivariate doubly truncated moments and conditional risks for generalized skew-elliptical distributions.
result Explicit formulas for multivariate doubly truncated moments and conditional risks are derived for various skewed elliptical distributions.
Proposes a method to identify elements in a skewness matrix for multivariate skew-elliptical distributions.
problem Label switching issue in Bayesian estimation of skewness matrix.
method Imposes a positive lower-triangular constraint and uses Bayesian sparse estimation with horseshoe prior.
result Successfully estimates the true structure of skewness dependency.
Skew Brace Enhancementsmath.GT
Enhances knot counting invariant using skew braces.
problem Counting invariant for virtual knots and links.
method Introduces new invariants using skew brace structures.
result New invariants not determined by the counting invariant.
Study the geometry and dynamics of skew evolutes and involutes, related to bicycle kinematics.
problem Understanding the geometry and dynamics of skew evolutes and involutes.
method Investigate the skew evolute and involute maps, comparing them to bicycle kinematics.
result The skew evolute and involute maps have properties analogous to bicycle kinematics.
Study on simplicity of Lie skew braces, proving new results for compact cases.
problem Simplicity of Lie skew braces, focusing on compact connected cases.
method Reviewing correspondence, investigating ideals and rigidity, proving main result for compact Lie skew braces.
result Compact connected simple Lie skew braces are either trivial or have simple underlying Lie groups.
We construct a geometric model of eight-dimensional manifolds and realize them in the context of type II string theory. These eight-manifolds are constructed by non-trivial fibrations over Calabi-Yau two-folds. These give rise to eight-dimensional non-Kahler Hermitian manifolds with structure. The eight…
The paper examines smoothness in graded skew Clifford algebras.
problem Smoothness of graded skew Clifford algebras.
method Investigation of differential smoothness.
result Results on the differential smoothness of graded skew Clifford algebras.
A skew loop is a closed curve without parallel tangent lines. We prove: The only complete surfaces in euclidean 3-space with a point of positive curvature and no skew loops are the quadrics. In particular, ellipsoids are the only closed surfaces without skew loops. We also prove results about skew loops on cylinders an…
Skewing Quanto with Simplicityq-fin.MF
Simple method solves Quanto Skew problem.
problem Quanto Skew problem in Equities and FX.
method Analytical method that accommodates Equity and FX volatility skew.
result Highly efficient and fast performance.
New topological biquandles created using skew braces.
problem Creating nontrivial topological biquandles.
method Using the concept of skew braces.
result Constructs nontrivial examples of topological biquandles.
Examines differential smoothness in a specific skew PBW extension family.
problem Differential smoothness in skew PBW extensions.
method Investigates a specific family of skew PBW extensions.
result Results on differential smoothness of the family.
New condition ensures submanifolds are skew in small areas.
problem Ensuring submanifolds are skew in Euclidean space.
method Introduces a third-order differential condition.
result Constructs improved totally skew embeddings for .
A skew brane is an immersed codimension 2 submanifold in affine space, free from pairs of parallel tangent spaces. Using Morse theory, we prove that a skew brane cannot lie on a quadratic hypersurface. We also prove that there are no skew loops on embedded ruled developable discs in 3-space. The paper extends recent wo…
This paper classifies 4D spin manifolds with skew Killing spinors.
problem Classifying 4D Riemannian spin manifolds with skew Killing spinors.
method Analyzing skew Killing spinors with skew-symmetric endomorphisms A, considering both degenerate and non-degenerate cases.
result In the degenerate case, the manifold is locally isometric to R x N with N having a skew Killing spinor.
Complete classification of quaternionic skew-Hermitian symmetric spaces found.
problem Classifying quaternionic skew-Hermitian symmetric spaces.
method Proving the existence of a torsion-free -structure and showing that any homogeneous space is symmetric.
result A complete classification of quaternionic skew-Hermitian symmetric spaces for arbitrary .
Three types of equations of mathematical physics, namely, the equations, which describe any physical processes, the equations of mechanics and physics of continuous media, and field-theory equations are studied in this paper. In the first and second case the investigation is reduced to the analysis of the nonidentical …
Study refracted skew Brownian motion, find densities and asymptotics.
problem Modeling and analyzing refracted skew Brownian motion.
method Perturbation approach to find potential densities, transition density, and asymptotic behaviors.
result Expressions and asymptotic behaviors of refracted skew Brownian motion.
Following recent work by Ghomi, Solomon and Tabachnikov, we study geometry and topology of skew branes. A skew brane is a codimension 2 submanifold in affine space such that the tangent spaces at any pair of distinct points are not parallel. We prove that if an oriented closed manifold has a non-zero Euler characterist…
New RESK distributions improve robust clustering of skewed data.
problem Robustly clustering non-symmetric, heavy-tailed data clusters.
method Proposes RESK distributions and an EM algorithm with robust skew-Huber M-estimator.
result Numerical experiments confirm the effectiveness of the proposed methods.
The paper examines differential smoothness in skew PBW extensions over polynomial rings.
problem Differential smoothness in skew PBW extensions over polynomial rings.
method Investigation of skew PBW extensions over commutative polynomial rings.
result Results on differential smoothness for skew PBW extensions over polynomial rings.
A parsimonious model reduces over-parameterization in skewed matrix variate mixtures.
problem Over-parameterization in skewed matrix variate mixtures.
method Parsimonious family of 256 models using bilinear factor analyzers constrained over clusters, with AECM algorithm for estimation.
result Extensive simulations and real-world datasets (MNIST, Olivetti faces) demonstrate the method's effectiveness.
Derives token price process for AMM tokens, finds leverage effect and pricing discrepancies.
problem Derives token price process for AMM tokens.
method Derives CEV process for token price, derives closed-form option prices, introduces liquidity-adjusted Greeks.
result Token price process is CEV, with leverage effect and pricing discrepancies.
Optimizes option portfolios for skewed-t returns using VaR and variance measures.
problem Optimizing portfolios for skewed-t returns with heavy tails and skewness.
method Uses variance and VaR measures, departing from normal returns, and provides explicit portfolio weights.
result Optimal portfolio weights differ significantly from variance optimal weights due to skewness.
New divergence measures improve KL approximation.
problem Improving KL divergence approximation without AC condition.
method Introduced -geodesical skew divergence.
result Properties of -geodesical skew divergence studied.
The paper improves asset allocation using a skew-normal distribution in the Black-Litterman model.
problem Improving asset allocation under skewed return distributions.
method Using the Black-Litterman model with hidden truncation skew-normal distribution and Simaan's three-moment risk model.
result Optimal portfolios have less risk and higher skewness compared to classical BL model.
The third moment variation of a financial asset return process is defined by the quadratic covariation between the return and square return processes. The skew and fat tail risk of an underlying asset can be hedged using a third moment variation swap under which a predetermined fixed leg and the floating leg of the rea…
A new clustering method for functional data using skewed distributions.
problem Clustering functional data with skewed distributions.
method Mixtures of functional linear regression models and three skewed multivariate distributions (variance-gamma, skew-t, normal-inverse Gaussian).
result The proposed method funWeightClustSkew performs well on simulated and real data.
The paper characterizes curvature of quaternionic skew-Hermitian manifolds and constructs related geometric structures.
problem Characterizing the curvature of quaternionic skew-Hermitian manifolds.
method Holonomy theory of symplectic connections and bundle constructions.
result Existence and integrability of almost hypercomplex skew-Hermitian structures on Swann bundles.
The paper defines symmetric brackets for skew-symmetric algebroids with totally skew-symmetric torsion.
problem Defining symmetric brackets for skew-symmetric algebroids.
method Using connections with totally skew-symmetric torsion and pseudo-Riemannian metrics.
result Explicit formula for the Levi-Civita connection and symmetric brackets on almost Hermitian manifolds.