The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability

DOI10.1111/1467-9965.T01-1-00003MaRDI QIDQ4409035zbMATH OpenOpenAlexFDO

Authors Paul Malliavin, Maria Elvira Mancino, Roberto Renò, Anton Thalmaier, Emilio Barucci

Publication date 2003

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL http://orbilu.uni.lu/handle/10993/13836

zbMATH Keywords

Greeksliquiditymarket stabilitymoving frame

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70)

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Cites work

• Complete Models with Stochastic Volatility
• Fourier series method for measurement of multivariate volatilities
• Market volatility and feedback effects from dynamic hedging
• Non perturbative construction of invariant measure through confinement by curvature
• On Feedback Effects from Hedging Derivatives
• On measuring volatility of diffusion processes with high frequency data
• Stochastic analysis on the path space of a Riemannian manifold. I: Markovian stochastic calculus

Cited in

(11)

• A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics
• Exponential divergence estimates and heat kernel tail.
• Instantaneous liquidity rate, its econometric measurement by volatility feedback
• A measure of market volatility based on F-transform
• Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data
• A Fourier transform method for nonparametric estimation of multivariate volatility
• Computation of volatility in stochastic volatility models with high frequency data
• Price range volatility -- a new indicator for risk measurement
• ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
• Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
• The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes

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