Empirical properties of asset returns: stylized facts and statistical issues
From MaRDI portal
Publication:4646480
DOI10.1080/713665670zbMATH Open1408.62174OpenAlexW2100011707WikidataQ56503695 ScholiaQ56503695MaRDI QIDQ4646480FDOQ4646480
Authors: Rama Cont 
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/713665670
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cited In (only showing first 100 items - show all)
- Pairs trading with partial cointegration
- Nonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlation
- Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump
- Price dynamics in an order-driven market with Bayesian learning
- Optimal trade execution under jump diffusion process: a mean-VaR approach
- A note on power-law cross-correlated processes
- Fuzzy clustering of time series with time-varying memory
- A New Principle for Tuning-Free Huber Regression
- High-dimensional covariance matrices in elliptical distributions with application to spherical test
- Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach
- An options-pricing approach to election prediction
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- Statistical analysis of strait time index and a simple model for trend and trend reversal
- A new perspective on robust \(M\)-estimation: finite sample theory and applications to dependence-adjusted multiple testing
- An asset return model capturing stylized facts
- Capturing deep tail risk via sequential learning of quantile dynamics
- Stylized facts of the Indian stock market
- Robust and sparse banking network estimation
- Simulation based calibration using extended balanced augmented empirical likelihood
- Investor sentiment and trading behavior
- A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
- Valuation of an option using non-parametric methods
- Optimal classification of Gaussian processes in homo- and heteroscedastic settings
- Mixed tempered stable distribution
- On the bimodality of the distribution of the S\&P 500's distortion: empirical evidence and theoretical explanations
- Modeling the cryptocurrency return distribution via Laplace scale mixtures
- Portfolio optimization under Solvency II: a multi-objective approach incorporating market views and real-world constraints
- Prices, debt and market structure in an agent-based model of the financial market
- Community detection in temporal multilayer networks, with an application to correlation networks
- Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
- Asset allocation strategies based on penalized quantile regression
- Fundamentalists, chartists and asset pricing anomalies
- Intermediate efficiency of some weighted goodness-of-fit statistics
- Optimising portfolio diversification and dimensionality
- An agent-based model of stock markets incorporating momentum investors
- Empirical scaling laws and the aggregation of non-stationary data
- A novel analytical technique for the solution of time-fractional Ivancevic option pricing model
- Spatiotemporal blocking of the bouncy particle sampler for efficient inference in state-space models
- On the classification of financial data with domain agnostic features
- New fat-tail normality test based on conditional second moments with applications to finance
- Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
- Market calibration under a long memory stochastic volatility model
- Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
- Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach
- Solvency II solvency capital requirement for life insurance companies based on expected shortfall
- Option pricing with non-Gaussian scaling and infinite-state switching volatility
- Test on the linear combinations of mean vectors in high-dimensional data
- Nonparametric estimation for compound Poisson process via variational analysis on measures
- An infinite‐dimensional affine stochastic volatility model
- Implied risk aversion: an alternative rating system for retail structured products
- Nonlinear stochastic interacting dynamics and complexity of financial gasket fractal-like lattice percolation
- An algorithmic look at financial volatility
- Power-law cross-correlations estimation under heavy tails
- Model-based fuzzy time series clustering of conditional higher moments
- Emergence of speculation in a hierarchical agent-based model
- Nonlinear complexity and chaotic behaviors on finite-range stochastic epidemic financial dynamics
- Price drops, fluctuations, and correlation in a multi-agent model of stock markets
- Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models
- Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation
- Sparse precision matrices for minimum variance portfolios
- Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
- \textit{SMART-or} and \textit{SMART-and} fuzzy average operators: a generalized proposal
- Machine learning and speed in high-frequency trading
- Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
- Transitions in the stock markets of the US, UK and Germany
- Herding behaviour and volatility clustering in financial markets
- Heterogeneous round-trip trading and the emergence of volatility clustering in speculation game
- Development of an agent-based speculation game for higher reproducibility of financial stylized facts
- Heterogeneity in economic relationships: scale dependence through the multivariate fractal regression
- Modeling and complexity of stochastic interacting Lévy type financial price dynamics
- Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
- Network tail risk estimation in the European banking system
- Market stability with machine learning agents
- Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
- The odd log-logistic Weibull-G family of distributions with regression and financial risk models
- Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamics
- On Stochastic Gradient Langevin Dynamics with Dependent Data Streams: The Fully Nonconvex Case
- COVID-19 and credit risk: a long memory perspective
- Pricing equity warrants in Merton jump-diffusion model with credit risk
- Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
- Universal features of price formation in financial markets: perspectives from deep learning
- Adaptive Huber regression on Markov-dependent data
- The cross-correlation analysis of multi property of stock markets based on MM-DFA
- Equity returns and sentiment
- Investigation of non-Gaussian effects in the Brazilian option market
- Non-parametric news impact curve: a variational approach
- Thermal and superthermal income classes in a wealth alike distribution generated by Conway's game of life cellular automaton
- A review of two decades of correlations, hierarchies, networks and clustering in financial markets
- Brownian motion minus the independent increments: representation and queuing application
- Regime switching model estimation: spectral clustering hidden Markov model
- Test for the existence of finite moments via bootstrap
- High frequency trading strategies, market fragility and price spikes: an agent based model perspective
- Detection of changes in a random financial sequence with a stable distribution
- Planetary boundaries of consumption growth: declining social discount rates
- Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes
- Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
- Pricing European double barrier option with moving barriers under a fractional Black-Scholes model
- Local and implied volatilities with the mixed-modified-fractional-Dupire model
- Pricing participating policies under the Meixner process and stochastic volatility
- Modeling the coupled return-spread high frequency dynamics of large tick assets
This page was built for publication: Empirical properties of asset returns: stylized facts and statistical issues
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4646480)
