Study on implied volatility in strict local martingale models, showing how to detect price bubbles.
problem Detecting price bubbles in financial models with strict local martingale behavior.
method Asymptotic expansion and duality method based on absolutely continuous measure change.
result Strict local martingale property can be determined from the asymptotic expansion of implied volatility.
Developed a method to detect jumps and estimate volatility in financial data.
problem Identifying jumps in financial time series data.
method Threshold method for jump detection and volatility estimation.
result Unprecedented accuracy in volatility estimation across various parameter values.
The paper introduces a new method to detect rough volatility and market states using fractional derivatives.
problem Testing self-similarity in fractional processes from a single observed trajectory is difficult under long-range dependence.
method The paper introduces a regime-adaptive KS/GL--KS framework based on the discrete Grünwald--Letnikov (GL) fractional derivative.
result The method detects rough volatility and persistent, anti-persistent, or efficient market states in financial applications.
VOLARE provides standardized realized volatility measures from financial data.
problem Lack of standardized realized volatility measures from ultra-high-frequency data.
method Asset-specific pipeline for cleaning and sampling data, providing a wide range of realized estimators.
result Comprehensive set of realized estimators for equities, exchange rates, and futures.
New method clusters financial time series into volatility regimes.
problem Finding the number of volatility regimes in nonstationary financial time series.
method Change point detection and clustering of segment distributions.
result Optimized trading strategy based on learned volatility regimes.
Detects jumps in financial asset prices with U-shape volatility.
problem Identifying jumps in financial asset prices with varying volatility.
method Threshold method applied to five-minute log-returns.
result Visualized jumps and volatility patterns for Apple Inc. (AAPL) stock.
Paper develops a particle filter for rapid model parameter adaptation and change detection.
problem Rapidly adapting to changes in model parameters and distinguishing between regime shifts and stochastic volatility.
method Incorporates genetic algorithm elements into a particle filter for accelerated adaptation and change detection.
result The filter adapts to regime shifts extremely rapidly and provides a clear heuristic for distinguishing between regime shifts and stochastic volatility.
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of Dow Jones Industrial Average and Financial Times Stock Exchange 100 in the perio…
This paper provides a practical method to extract caplet volatilities from quoted data.
problem Extracting caplet volatilities from quoted data is complex and not straightforward.
method The paper presents a constructive algorithm based on criteria and robust outlier detection. It includes direct interpolation, bootstrap methods, and global search methods.
result The paper introduces methods to extract caplet volatilities that are arbitrage-free and consistent with quoted data.
We study the volatility of the MIB30-stock-index high-frequency data from November 28, 1994 through September 15, 1995. Our aim is to empirically characterize the volatility random walk in the framework of continuous-time finance. To this end, we compute the index volatility by means of the log-return standard deviatio…
The paper models VIX with jumps and stochastic volatility using VVIX as a proxy.
problem Capturing the dynamics of VIX with jumps and stochastic volatility.
method Double-jump stochastic volatility model with MCMC estimation.
result The jump in VIX and volatility factor are statistically significant.
Paper tackles rough volatility estimation from high-frequency data.
problem Estimating historical volatility from high-frequency asset price data.
method Uses fractional Brownian motion representation and particle methods for filtering and parameter estimation.
result Demonstrates efficient estimation of rough volatility using standard techniques.
The paper analyzes real-time methods to detect rapidly varying liquidity in markets.
problem Increased trade execution price uncertainty due to rapid price variations by high-frequency traders.
method A four-state Markov switching model to identify volatile liquidity states.
result The model can generate a signal to delay orders, reducing price volatility for market participants.
DSVM model predicts financial market volatility with better accuracy.
problem Predicting financial market volatility accurately.
method Deep latent variable models with variational inference.
result DSVM outperforms GARCH models in predicting volatility.
We present a detailed study on the mean first-passage time of volatility processes. We analyze the theoretical expressions based on the most common stochastic volatility models along with empirical results extracted from daily data of major financial indices. We find in all these data sets a very similar behavior that …
We detect and quantify asymmetries in volatility spillovers using the realized semivariances of petroleum commodities: crude oil, gasoline, and heating oil. During the 1987--2014 period we document increasing spillovers from volatility among petroleum commodities that substantially change after the 2008 financial crisi…
Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of order 0.1, at any reasonable time scale. This leads us to adopt the fractional s…
Study examines implied volatility smiles around jumps in high-frequency S&P500 index data.
problem Understanding implied volatility smiles around market jumps.
method High-frequency analysis of SPX S&P500 index option data using principal components.
result Volatility smiles exhibit abnormal properties around jumps, independent of maturity and option type.
The article detects market regimes from covariance matrices using VLSTAR and clustering models.
problem Market regime switching is hard to detect due to time-varying correlation coefficients.
method The article applies VLSTAR and unsupervised hierarchical clustering on monthly realized covariance matrices.
result VLSTAR outperforms clustering in detecting market regimes.
New method for fast volatility estimation robust to change points.
problem Robust high-frequency volatility estimation with change points.
method ℓ1-regularized power variation estimators using LARS for sparse estimation and dynamic programming for change point refinement.
result Minimax rates achieved for volatility estimators, providing accurate and smooth forecasts.
Daily market volatility can be directly observed from stock prices.
problem Defining and observing the daily market volatility directly from data.
method Analysis of 65 stocks from 1973 to 2014, focusing on price dynamics and daily returns.
result Daily market volatility σ ( t ) σ(t) σ ( t ) can be directly observed from market data. The Autoencoder Reconstruction Ratio detects increased asset co-movements.
problem Detecting changes in asset co-movements for risk management.
method Uses a deep sparse denoising autoencoder to measure asset returns with latent variables.
result Lower ARR values indicate periods of market weakness and increased volatility.
New financial volatility models capture dynamic volatility better.
problem Traditional volatility models miss important volatility dynamics.
method Integrate recurrent neural networks into GARCH models.
result Improved in-sample and out-of-sample volatility forecasting.
Novel Fourier-based estimator reveals stochastic leverage effect in high-frequency data.
problem Analyzing the stochastic leverage effect in high-frequency data.
method A novel Fourier-based estimator of the stochastic leverage effect is defined and proven consistent.
result The magnitude of the stochastic leverage effect is detectable at high-frequency.
Modified Anderson-Darling test improves counterparty credit risk model accuracy.
problem Limited sample size impacts Anderson-Darling test effectiveness in counterparty credit risk models.
method Proposed a modified Anderson-Darling test for better volatility detection in counterparty credit risk models.
result Modified test detects underestimation of model's volatility more efficiently.
System detects controversial events on social media and impacts markets.
problem Lack of systematic data on company social consciousness and sustainability.
method Uses Twitter data to identify and validate controversial events.
result Validated controversial events impact market volatility.
CRBMs improve financial regime detection with PCD and free energy analysis.
problem Detecting systemic risk regimes in financial time series.
method Extended RBM to CRBM with autoregressive conditioning and PCD. Decomposed free energy into magnitude and correlation components.
result CRBM's free energy metric distinguishes between magnitude shocks and market regimes.
The paper uses deep learning to detect asset price bubbles in tech stocks.
problem Detecting financial asset price bubbles using deep learning.
method Deep learning techniques applied to call option prices for financial asset bubbles detection.
result The proposed deep learning algorithm provides a theoretical foundation for positive and continuous stochastic asset price processes.
Hybrid model combines SV and LSTM for S&P 500 volatility forecasting.
problem Accurate forecasting of S&P 500 index volatility.
method Integrates Stochastic Volatility with LSTM networks.
result Hybrid model outperforms standalone SV and LSTM models.
We study the long-term memory in diverse stock market indices and foreign exchange rates using the Detrended Fluctuation Analysis(DFA). For all daily and high-frequency market data studied, no significant long-term memory property is detected in the return series, while a strong long-term memory property is found in th…
New wavelet-thresholding test for semimartingale models.
problem Ensuring a semimartingale model fits asset prices correctly.
method Reduces goodness-of-fit problem to semimartingale detection, applies wavelet-thresholding test.
result Wavelet-thresholding test achieves adaptive and near-optimal detection rates.
Optimal method detects jumps in jump-diffusion processes.
problem Detecting jumps in jump-diffusion processes with improved finite-sample performance.
method Iterative threshold-kernel method to optimally select threshold parameter.
result Approximate optimal threshold depends on spot volatility, jump intensity, and jump density.
We investigate the spatial and temporal structures of four financial markets in Greater China. In particular, we uncover different characteristics of the four markets by analyzing the sector and subsector structures which are detected through the random matrix theory. Meanwhile, we observe that the Taiwan and Hongkong …
Detects crypto pump-and-dump schemes with a thresholding-based model.
problem Detecting genuine anomalies from minor trading fluctuations.
method Combining threshold-based criteria with EWMA and volatility measures.
result Balances high true-positive detection with minimal noise.
The study re-evaluates Bitcoin's market efficiency over time.
problem Analyzing the informational efficiency of Bitcoin's market over time.
method Used R/S and DFA methods to analyze long memory and variations in informational efficiency.
result Daily returns show persistent behavior until 2014, becoming more informational efficient after 2014.
Entropy measures financial drawdowns, volatility, and volatility regimes.
problem Analyzing financial time series with entropy measures.
method Transfer entropy, state space models, entropy of realised volatility.
result Entropy reveals information flows and volatility regimes in financial markets.
TGARCH model shows CSI-300 futures reduce spot price volatility.
problem Impact of CSI-300 futures trading on spot price volatility.
method TGARCH model applied to CSI-300 index data.
result CSI-300 futures trading significantly reduces spot price volatility.
ReGEN-TAD detects anomalies in financial time series with interpretable models.
problem Detecting anomalies in complex financial time series with high-dimensional data.
method Integrates machine learning with econometric diagnostics in a refined convolutional--transformer architecture.
result Unified anomaly score without labeled data, robust to structured deviations.
This paper proposes a multi-scale Markov-Switching GARCH model for EUR/USD volatility.
problem Non-stationary financial volatility requires models that capture changing market conditions across multiple timescales.
method Triple-timeframe Markov-Switching GARCH (MS-GARCH) framework with AR(1)-MS-GARCH models and TVTP for short horizons.
result The proposed model produces statistically distinct regimes and superior volatility forecasting performance.
Study adapts OHLC volatility estimators for monitoring market stress in diverse settings.
problem Limited use of range-based volatility estimators in local commodity markets.
method Adapted OHLC volatility estimators to monitor market distress across various contexts.
result OHLC-based volatility indicators detect market disruptions missed by standard momentum indicators.
Model explains leverage and mean-reversion in stock prices.
problem Understanding volatility dynamics in financial markets.
method Proposes a local volatility model with piecewise coefficients, estimating parameters using daily stock prices.
result Empirical evidence confirms leverage and mean-reversion effects in stock prices.
New framework predicts cryptocurrency trends by analyzing news and market data.
problem Cryptocurrency market volatility and news sensitivity challenges prediction accuracy.
method Multi-agent system with three innovations: news analysis, fusion mechanism, and coordination architecture.
result Statistically significant improvements over state-of-the-art methods.
A new framework for risk-aware multi-armed bandits tackles volatile environments.
problem Volatility in healthcare and finance makes naive reward maximization unreliable.
method Risk-aware strategies with adaptive risk measures and change-point detection.
result Finite-time theoretical guarantees and asymptotic regret bound of order i l d e O ( K T T ) ilde O(\sqrt{K_T T}) i l d e O ( K T T ) . In this paper, we perform statistical segmentation and clustering analysis of the Dow Jones Industrial Average time series between January 1997 and August 2008. Modeling the index movements and log-index movements as stationary Gaussian processes, we find a total of 116 and 119 statistically stationary segments respect…
We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil. After estimating the volatility process without assuming any specific form of its b…
The paper detects special epochs in oil price data using wavelet analysis and multi-fractional modeling.
problem Detecting regime shifts in oil price data.
method Wavelet-based decomposition, multi-fractional modeling, and joint estimation of Hurst exponent and volatility.
result Special epochs emerge as a result of regime shifts and switching in oil price data.
Bayesian model detects sudden changes in stock market correlations during pandemic.
problem Capturing sudden structural changes in financial dependence during global events.
method Develops a Bayesian multivariate stochastic volatility model based on time-varying graphs.
result Captures abrupt changes in dependence structure across US stock portfolios.
The chapter analyzes methods for detecting structural changes in time series data.
problem Detecting structural changes in time series data.
method Retrospective methods for univariate time series.
result Different methods provide varying solutions for structural changes after a certain point.