Discovering stock dynamics through multidimensional volatility phases

DOI10.1080/14697681003743040MaRDI QIDQ2893204zbMATH OpenOpenAlexFDO

Authors Hsieh Fushing, Chii-Ruey Hwang, Shu-Chun Chen

Publication date 26 June 2012

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697681003743040

zbMATH Keywords

computational financedynamic modelsfinancial times seriesinvestor behaviourmarket dynamicspattern recognitionstochastic models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cites work

• Estimating the dimension of a model
• Lévy flights and related topics in physics. Proceedings of the international workshop, held at Nice, France, 27-30 June, 1994
• Relation between bid–ask spread, impact and volatility in order-driven markets
• Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
• The Price Variability-Volume Relationship on Speculative Markets
• The pricing of options and corporate liabilities

Cited in

(6)

• A note on testing regime switching assumption based on recurrence times
• Empirical scaling laws and the aggregation of non-stationary data
• Measuring the temporary component of stock prices: robust multivariate analysis
• Discovering focal regions of slightly-aggregated sparse signals
• Analyzing heterogeneous stock price comovements through hybrid approaches
• Unraveling S\&P\(500\) stock volatility and networks -- an encoding-and-decoding approach

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