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Revisiting the Epps effect using volume time averaging: An exercise in R [article]

Patrick Chang and Roger Bukuru and Tim Gebbie
2020 arXiv   pre-print
We reaffirm the argument made in much of the literature that the MM estimator is more representative of trade time reality because it does not over-estimate short-term correlations in an asynchronous event  ...  We confirm well known market phenomenology with the aim of providing some standardised R based simulation tools.  ...  Here we prefer to first alter the notion of time and link it to how we carrying event averaging for modeling. We would need to agree on what clock to using in a financial market analysis.  ... 
arXiv:1912.02416v2 fatcat:jovcfbqyxbhjhnjlkze5oqc3fq

Jumps in High-Frequency Data on the Chinese Stock Market

Ying Li, Tengfei Jiang
2017 Journal of Mathematical Finance  
This study adopts two nonparametric methods, the activity signature function (ASF) and ratio analysis of cojumps, to test jumps in China's stock market.  ...  In the short run, the index becomes a pure-jump process in times of recession while exhibiting the characteristics of a continuous or even semimartingale process in certain intervals.  ...  Acknowledgements This work was supported, in part, by the National Natural Science Foundation of China (Grant Nos. 70801066, 71071167, 71071168, 71371200), and by a grant  ... 
doi:10.4236/jmf.2017.72025 fatcat:xndhlxdb3fg23nlks7orctg6gy

Statistical causes for the Epps effect in microstructure noise [article]

Michael C. Münnix, Rudi Schäfer, Thomas Guhr
2010 arXiv   pre-print
These distortions depend on the properties of the time series and are of purely statistical origin. We are able to present parameter-free compensation methods, which we validate in a model setup.  ...  Furthermore, the compensation methods are applied to high-frequency empirical data from the NYSE's TAQ database. A major fraction of the Epps effect can be compensated.  ...  ACKNOWLEDGEMENTS M.C.M. acknowledges financial support from the Fulbright program and from Studienstiftung des deutschen Volkes.  ... 
arXiv:1009.6157v1 fatcat:cpsg2fy3mrggvj4wbsrsdapcza

Cascades on a stochastic pulse-coupled network

C. M. Wray, S. R. Bishop
2014 Scientific Reports  
Finally, a description of how this model can be applied to interacting agents in a financial market is provided.  ...  An example of this is the dynamic behaviour of financial markets where cascades of buying and selling can occur, even over short timescales.  ...  Acknowledgments This work was supported by the Engineering and Physical Sciences Research Council of the United Kingdom, and the UCL Centre for Doctoral Training in Financial Computing.  ... 
doi:10.1038/srep06355 pmid:25213626 pmcid:PMC4161966 fatcat:plbl3xciffdvdh5yf3uosl72x4

Recent Developments on the Stability and Control of Stochastic Systems

Quanxin Zhu, Son Nguyen, Ruihua Liu, Leonid Shaikhet
2015 Mathematical Problems in Engineering  
Acknowledgments We express our great appreciation to all the authors of this special issue for their high quality contributions.  ...  Quanxin Zhu's work was jointly supported by the National Natural Science Foundation of China (61374080) and a Project Funded by the Priority Academic Program Development of Jiangsu Higher Education Institutions  ...  The paper entitled "Multivariate Time-Varying -Copula GARCH Model and Its Application in the Financial Market Risk Measurement" by Q.  ... 
doi:10.1155/2015/454951 fatcat:wluyumkdt5gkbehfx75kqg3zzq

Synchronizing multivariate financial time series

Francesco Audrino
2004 Journal of Risk  
The need to synchronize multivariate time series of financial prices or returns is motivated by the fact that information continues to flow for closed markets while others are still open.  ...  Prices or returns of financial assets are most often collected in local times of the trading markets.  ...  Conclusions The need to synchronize multivariate financial time series is strongly motivated by the fact that information continues to flow for closed markets while others are still open.  ... 
doi:10.21314/jor.2004.105 fatcat:6lv5uc5p4fhjfc2vvrjz5vrun4

Asynchronous Iterations of Parareal Algorithm for Option Pricing Models

Frédéric Magoulès, Guillaume Gbikpi-Benissan, Qinmeng Zou
2018 Mathematics  
In this paper, we present an original model of asynchronous variant based on parareal scheme, applied to the European option pricing problem.  ...  Some numerical experiments are given to illustrate the convergence performance and computational efficiency of such method.  ...  More recently, some stochastic volatility option models have been proposed to better simulate the real volatility in the financial market (see, e.g., [30, 18] ).  ... 
doi:10.3390/math6040045 fatcat:nwso64ogh5gzre3vp2ujcinb4y

Financial correlations at ultra-high frequency: theoretical models and empirical estimation

I. Mastromatteo, M. Marsili, P. Zoi
2011 European Physical Journal B : Condensed Matter Physics  
We focus in particular on the dependence of correlations on time scales - the so-called Epps effect.  ...  A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks.  ...  We choose for simplicity to present them in continuous time.  ... 
doi:10.1140/epjb/e2011-10865-y fatcat:prfzsuel25hffjzkvaqpibld7i

Symposium on stochastic volatility: an introductory overview

Frederi G. Viens
2010 Annals of Finance  
Since there is no specific canonical model of SV that can account simultaneously for all the features of financial volatility observed in markets, the quantitative study of SV has been and continues to  ...  The celebrated continuous-time asset price model of Black, Merton, and Scholes is as popular in investment finance today as ever, by virtue of its simplicity and versatility.  ...  discrete time.  ... 
doi:10.1007/s10436-010-0162-6 fatcat:65bwabk5mzdqfkwmgnqwck5c2m

A Study on Associative Neural Memories

B.D C.N, P E, Sagar Yeruva, P Sita
2010 International Journal of Advanced Computer Science and Applications  
One of the primary concepts of memory in neural networks is Associative neural memories.  ...  These memories can be applied in various fields to get the effective outcomes. We present a study on these associative memories in artificial neural networks.  ...  It is a discrete-time continuous-state parallel updated DAM.  ... 
doi:10.14569/ijacsa.2010.010619 fatcat:mpo3zcnn7bhlhdhurqyzpfgpzy

The impact of asynchronous trading on Epps effect. Comparative study on Warsaw Stock Exchange and Vienna Stock Exchange

Henryk Gurgul, Artur Machno
2016 Managerial Economics  
The exactness of the trade time for this dataset is 0.01 seconds. The continuous trade hours on the VSE are during the time span, from 9:00 a.m. to 12:00 p.m. and then 12:03 p.m. to 5:30 p.m.  ...  From this point of view, the financial literature considers two main groups of contributions to the Epps effect.  ... 
doi:10.7494/manage.2016.17.1.59 fatcat:nulro5hk65d4tlgst2o5zobsui

Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification

Roman Huptas
2009 Dynamic Econometric Models  
The aim of this paper is to outline the typical characteristics of the ultra-highfrequency financial data and to present estimation methods of intraday seasonality of trading activity.  ...  Both approaches are compared empirically and applied to financial data of stocks traded at the Warsaw Stock Exchange.  ...  They include, above all, asynchronous distributions of obser-vations relative to time units and discrete price changes.  ... 
doi:10.12775/dem.2009.013 fatcat:ubx7d37nqbe75nhn2cp35heirq

Hidden Markov Models Applied To Intraday Momentum Trading With Side Information [article]

Hugh Christensen, Simon Godsill, Richard Turner
2020 arXiv   pre-print
Existing momentum trading models suffer from time-lagging caused by the delayed frequency response of digital filters.  ...  Time-lagging results in a momentum signal of the wrong sign, when the market changes trend direction.  ...  Application of such work to the financial markets has obvious economic benefits.  ... 
arXiv:2006.08307v1 fatcat:slrxvdvnibfapdu3ufapty6rse

An Improved Platform for Multi-Agent Based Stock Market Simulation in Distributed Environment

Ce YU, Xiang CHEN, Chunyu WANG, Hutong WU, Jizhou SUN, Yuelei LI, Xiaotao ZHANG
2015 IEICE transactions on information and systems  
Two groups of experiments are conducted, one with internal communication between agents and the other without communication between agents, to verify PSSPAM to be compatible with the data from Euronext-NYSE  ...  Financial researchers can design their own financial models and run the simulation through the user interface, without caring about the complexity of parallelization and related problems.  ...  Acknowledgments The work is sponsored by the National Natural Science Foundation of China (71131007, 61303021).  ... 
doi:10.1587/transinf.2015edp7050 fatcat:yp4ctgdeo5a3jfxwtfh25iso2y

A Synthetic View [chapter]

2011 Option Pricing and Estimation of Financial Models with R  
In particular, the attention is on continuous time models observed at discrete times and calibration techniques for them in terms of statistical estimation.  ...  These publications touch upon the problem of model calibration only incidentally and in most cases the focus is on discrete time models mainly (ARCH, GARCH, etc.) with notable exceptions.  ...  Other books more oriented to the statistical analysis of financial times series are Tsay (2005) , Carmona (2004) , Ruppert (2006) and Franke et al. (2004) .  ... 
doi:10.1002/9781119990079.ch1 fatcat:s3v5a4dkczhqrmrdgjr5gxhp7u
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