Multifractal Financial Markets

Author : Guangxi Cao,Ling-Yun He,Jie Cao
Publisher : Springer
Page : 255 pages
File Size : 47,6 Mb
Release : 2018-02-18
Category : Business & Economics
ISBN : 9789811079160

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Multifractal Detrended Analysis Method and Its Application in Financial Markets by Guangxi Cao,Ling-Yun He,Jie Cao Pdf

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 detrended methods. Furthermore, it puts forward some investment suggestions on a healthy development of financial markets.

Author : Yasmine Hayek Kobeissi
Publisher : Springer Science & Business Media
Page : 128 pages
File Size : 40,8 Mb
Release : 2012-07-23
Category : Business & Economics
ISBN : 9781461444909

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Multifractal Financial Markets by Yasmine Hayek Kobeissi Pdf

Multifractal Financial Markets ​explores appropriate models for estimating risk and profiting from market swings, allowing readers to develop enhanced portfolio management skills and strategies. Fractals in finance allow us to understand market instability and persistence. When applied to financial markets, these models produce the requisite amount of data necessary for gauging market risk in order to mitigate loss. This brief delves deep into the multifractal market approach to portfolio management through real-world examples and case studies, providing readers with the tools they need to forecast profound shifts in market activity.

Author : Laurent E. Calvet,Adlai J. Fisher
Publisher : Academic Press
Page : 272 pages
File Size : 40,9 Mb
Release : 2008-10-13
Category : Business & Economics
ISBN : 0080559964

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Multifractal Volatility by Laurent E. Calvet,Adlai J. Fisher Pdf

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

Author : Benoit B. Mandelbrot,Richard L. Hudson
Publisher : Profile Books
Page : 352 pages
File Size : 42,9 Mb
Release : 2010-10-01
Category : Business & Economics
ISBN : 9781847651556

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The (Mis)Behaviour of Markets by Benoit B. Mandelbrot,Richard L. Hudson Pdf

This international bestseller, which foreshadowed a market crash, explains why it could happen again if we don't act now. Fractal geometry is the mathematics of roughness: how to reduce the outline of a jagged leaf or static in a computer connection to a few simple mathematical properties. With his fractal tools, Mandelbrot has got to the bottom of how financial markets really work. He finds they have a shifting sense of time and wild behaviour that makes them volatile, dangerous - and beautiful. In his models, the complex gyrations of the FTSE 100 and exchange rates can be reduced to straightforward formulae that yield a much more accurate description of the risks involved.

Author : Johannes Voit
Publisher : Springer Science & Business Media
Page : 298 pages
File Size : 53,7 Mb
Release : 2013-04-17
Category : Mathematics
ISBN : 9783662051252

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The Statistical Mechanics of Financial Markets by Johannes Voit Pdf

This textbook describes parallels between statistical physics and finance - both those established in the 100-year-long interaction between these disciplines, as well as new research results on capital markets. The random walk, well known in physics, is also the basic model in finance, upon which are built, for example, the Black--Scholes theory of option pricing and hedging, or methods of risk control using diversification. Here the underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated. Computer simulations of interacting agent models of financial markets provide insights into the origins of asset price fluctuations. Stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes. These models allow for predictions. This study edition has been updated with a presentation of several new and significant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new and accurate simulation scheme for options, multifractals, the application of nonextensive statistical mechanics to financial markets, and the minority game. Moreover, the book was scanned for and corrected from errors, both typographical and in presentation.

Author : Edgar E. Peters
Publisher : John Wiley & Sons
Page : 352 pages
File Size : 44,5 Mb
Release : 1994-02-08
Category : Business & Economics
ISBN : 0471585246

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Fractal Market Analysis by Edgar E. Peters Pdf

A leading pioneer in the field offers practical applications of this innovative science. Peters describes complex concepts in an easy-to-follow manner for the non-mathematician. He uses fractals, rescaled range analysis and nonlinear dynamical models to explain behavior and understand price movements. These are specific tools employed by chaos scientists to map and measure physical and now, economic phenomena.

Author : Cornelis Los
Publisher : Routledge
Page : 483 pages
File Size : 46,9 Mb
Release : 2003-07-24
Category : Business & Economics
ISBN : 9781134469321

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Financial Market Risk by Cornelis Los Pdf

This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets, such as stock, bond and real estate market, and turbulence in antipersistent financial markets, such as anchor currency markets. It uses Windowed Fourier and Wavelet Multiresolution Analysis to measure the degrees of persistence of these complex markets, by computing monofractal Hurst exponents and multifractal singularity spectra. It explains how and why financial crises and financial turbulence may occur in the various markets and why we may have to reconsider the current wave of term structure modeling based on affine models. It also uses these persistence measurements to improve the financial risk management of global investment funds, via numerical simulations of the nonlinear diffusion equations describing the underlying high frequency dynamic pricing processes.

Author : Riccardo Buonocore
Publisher : Unknown
Page : 0 pages
File Size : 50,6 Mb
Release : 2018
Category : Electronic
ISBN : OCLC:1416536760

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Complexity in Financial Time-series by Riccardo Buonocore Pdf

Many aspects contribute to make financial markets one of the most challenging system to understand. The aim of this thesis is to study some aspects of their complexity by focusing on univariate e multivariate properties of log-returns time-series, namely multifractality and cross-dependence. In this thesis, we started by performing a thorough analysis of the scaling properties of synthetic time-series with different known scaling properties. This enabled us to do two things: find the presence of a strong bias in the estimation of the scaling exponents, and interpret measurement on real data which led us to uncover the true source of the multifractal behaviour of financial log-prices, which has been long debated in the literature. We addressed the presence of the bias by proposing a method which manages to filter out its presence and we validate it by applying it to synthetic time-series with known scaling properties and on empirical ones. We also found that this bias is due to the stability under aggregation of the log-returns which, due to their long memory, are processes which for high aggregation tend to a random variable which displays an exact multifractal scaling. Finally we focused the attention on linking the scaling properties of log-returns to their cross-correlation properties within a given market finding an intriguing non-linear relationship between the two quantities.

Author : Cornelis Los
Publisher : Routledge
Page : 513 pages
File Size : 49,6 Mb
Release : 2003-07-24
Category : Business & Economics
ISBN : 9781134469314

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Financial Market Risk by Cornelis Los Pdf

This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets,

Author : Dexiang Mei,Wang Chen,Yunyun Sun
Publisher : Scientific Research Publishing, Inc. USA
Page : 131 pages
File Size : 54,9 Mb
Release : 2020-12-06
Category : Art
ISBN : 9781649970534

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Research on Volatility and Contagion Effect in Stock Market by Dexiang Mei,Wang Chen,Yunyun Sun Pdf

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.

Author : Leszek Rutkowski,Rafał Scherer,Marcin Korytkowski,Witold Pedrycz,Ryszard Tadeusiewicz,Jacek M. Zurada
Publisher : Springer Nature
Page : 449 pages
File Size : 43,7 Mb
Release : 2023-01-23
Category : Computers
ISBN : 9783031234927

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Artificial Intelligence and Soft Computing by Leszek Rutkowski,Rafał Scherer,Marcin Korytkowski,Witold Pedrycz,Ryszard Tadeusiewicz,Jacek M. Zurada Pdf

The two-volume set LNAI 13588 and 13589 constitutes the refereed post-conference proceedings of the 21st International Conference on Artificial Intelligence and Soft Computing, ICAISC 2022, held in Zakopane, Poland, during June 19–23, 2022. The 69 revised full papers presented in these proceedings were carefully reviewed and selected from 161 submissions. The papers are organized in the following topical sections: Volume I: Neural networks and their applications; fuzzy systems and their applications; evolutionary algorithms and their applications; pattern classification; artificial intelligence in modeling and simulation. Volume II: Computer vision, image and speech analysis; data mining; various problems of artificial intelligence; bioinformatics, biometrics and medical applications.

Author : Xun Zhang,Bo Meng,Lean Yu
Publisher : Frontiers Media SA
Page : 200 pages
File Size : 43,7 Mb
Release : 2022-11-23
Category : Technology & Engineering
ISBN : 9782832506813

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Advanced Models of Energy Forecasting by Xun Zhang,Bo Meng,Lean Yu Pdf

Author : Stanisław Drożdż,Jarosław Kwapien,Paweł Oświęcimka
Publisher : MDPI
Page : 534 pages
File Size : 54,5 Mb
Release : 2021-05-11
Category : Business & Economics
ISBN : 9783036507941

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Complexity in Economic and Social Systems by Stanisław Drożdż,Jarosław Kwapien,Paweł Oświęcimka Pdf

There is no term that better describes the essential features of human society than complexity. On various levels, from the decision-making processes of individuals, through to the interactions between individuals leading to the spontaneous formation of groups and social hierarchies, up to the collective, herding processes that reshape whole societies, all these features share the property of irreducibility, i.e., they require a holistic, multi-level approach formed by researchers from different disciplines. This Special Issue aims to collect research studies that, by exploiting the latest advances in physics, economics, complex networks, and data science, make a step towards understanding these economic and social systems. The majority of submissions are devoted to financial market analysis and modeling, including the stock and cryptocurrency markets in the COVID-19 pandemic, systemic risk quantification and control, wealth condensation, the innovation-related performance of companies, and more. Looking more at societies, there are papers that deal with regional development, land speculation, and the-fake news-fighting strategies, the issues which are of central interest in contemporary society. On top of this, one of the contributions proposes a new, improved complexity measure.

Author : Anil K. Bera,Sergey Ivliev,Fabrizio Lillo
Publisher : Springer
Page : 284 pages
File Size : 43,9 Mb
Release : 2014-11-18
Category : Business & Economics
ISBN : 9783319099460

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Financial Econometrics and Empirical Market Microstructure by Anil K. Bera,Sergey Ivliev,Fabrizio Lillo Pdf

In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis. ​

Author : Shu-Heng Chen,Mak Kaboudan,Ye-Rong Du
Publisher : Oxford University Press
Page : 784 pages
File Size : 44,7 Mb
Release : 2018-01-12
Category : Business & Economics
ISBN : 9780190877507

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The Oxford Handbook of Computational Economics and Finance by Shu-Heng Chen,Mak Kaboudan,Ye-Rong Du Pdf

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, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.