:: Library Catalog

Copertina

Salvato in:

Dettagli Bibliografici
Autori principali:	Chen, Wei-Ru, Silva, A. Christian, Tung, Shen-Ning
Natura:	Preprint
Pubblicazione:	2024
Soggetti:	Statistical Finance
Accesso online:	https://arxiv.org/abs/2408.07653
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Stylized facts in money markets: an empirical analysis of the eurozone data
di: Coz, Victor Le, et al.
Pubblicazione: (2024)

Stylized facts of the Indian Stock Market
di: Sen, Rituparna, et al.
Pubblicazione: (2019)

Revisiting Cont's Stylized Facts for Modern Stock Markets
di: Ratliff-Crain, Ethan, et al.
Pubblicazione: (2023)

Macroscopic properties of equity markets: stylized facts and portfolio performance
di: Campbell, Steven, et al.
Pubblicazione: (2024)

The leverage effect and other stylized facts displayed by Bitcoin returns
di: Filho, F. N. M. de Sousa, et al.
Pubblicazione: (2020)

International Financial Markets Through 150 Years: Evaluating Stylized Facts
di: Safari, Sara A., et al.
Pubblicazione: (2025)

Stylized Facts and Market Microstructure: An In-Depth Exploration of German Bond Futures Market
di: Bodor, Hamza, et al.
Pubblicazione: (2024)

Advanced Statistical Arbitrage with Reinforcement Learning
di: Ning, Boming, et al.
Pubblicazione: (2024)

Stylized Facts and Their Microscopic Origins: Clustering, Persistence, and Stability in a 2D Ising Framework
di: Benítez, Hernán Ezequiel, et al.
Pubblicazione: (2025)

Change-point estimation for Weibull time series with copula-based Markov models
di: Sun, Li-Hsien, et al.
Pubblicazione: (2026)

Stylized Facts of High-Frequency Bitcoin Time Series
di: Tang, Yaoyue, et al.
Pubblicazione: (2024)

CBDC Stress Test in a Dual-Currency Setting
di: Dumitrescu, Catalin
Pubblicazione: (2025)

Consistent Estimation of the High-Dimensional Efficient Frontier
di: Bodnar, Taras, et al.
Pubblicazione: (2024)

Signal inference in financial stock return correlations through phase-ordering kinetics in the quenched regime
di: Achitouv, Ixandra, et al.
Pubblicazione: (2024)

Time-Varying Factor-Augmented Models for Volatility Forecasting
di: Zhang, Duo, et al.
Pubblicazione: (2025)

A multi-factor model for improved commodity pricing: Calibration and an application to the oil market
di: Ballestra, Luca Vincenzo, et al.
Pubblicazione: (2025)

Combined Mutiplicative-Heston Model for Stochastic Volatility
di: Moghaddam, M. Dashti, et al.
Pubblicazione: (2018)

Do t-Statistic Hurdles Need to be Raised?
di: Chen, Andrew Y.
Pubblicazione: (2022)

Implied and Realized Volatility: A Study of Distributions and the Distribution of Difference
di: Moghaddam, M. Dashti, et al.
Pubblicazione: (2019)

Distributions of Historic Market Data -- Relaxation and Correlations
di: Moghaddam, M. Dashti, et al.
Pubblicazione: (2019)

Volatility of Volatility and Leverage Effect from Options
di: Chong, Carsten H., et al.
Pubblicazione: (2023)

Trends and Reversion in Financial Markets on Time Scales from Minutes to Decades
di: Safari, Sara A., et al.
Pubblicazione: (2025)

High-frequency lead-lag relationships in the Chinese stock index futures market: tick-by-tick dynamics of calendar spreads
di: Li, Guanlin, et al.
Pubblicazione: (2025)

Do News and Social Media Tell the Same Story? Constructing and Comparing Sentiment Spillover Networks
di: Wu, Fan, et al.
Pubblicazione: (2026)

Sentiment-Aware Mean-Variance Portfolio Optimization for Cryptocurrencies
di: Chen, Qizhao
Pubblicazione: (2025)

CTBench: Cryptocurrency Time Series Generation Benchmark
di: Ang, Yihao, et al.
Pubblicazione: (2025)

Joint multifractality in the cross-correlations between grains \& oilseeds indices and external uncertainties
di: Shao, Ying-Hui, et al.
Pubblicazione: (2024)

An empirical study of market risk factors for Bitcoin
di: Singh, Shubham
Pubblicazione: (2024)

Machine Learning Methods for Pricing Financial Derivatives
di: Fan, Lei, et al.
Pubblicazione: (2024)

High-Throughput Asset Pricing
di: Chen, Andrew Y., et al.
Pubblicazione: (2023)

A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes
di: Brini, Alessio, et al.
Pubblicazione: (2024)

Systematic comparison of deep generative models applied to multivariate financial time series
di: Caulfield, Howard, et al.
Pubblicazione: (2024)

Fees in AMMs: A quantitative study
di: Alexander, Abe, et al.
Pubblicazione: (2024)

Analysis of market efficiency in main stock markets: using Karman-Filter as an approach
di: Liu, Beier, et al.
Pubblicazione: (2024)

Tuning into Climate Risks: Extracting Innovation from Television News for Clean Energy Firms
di: Ahmad, Wasim, et al.
Pubblicazione: (2024)

Market information of the fractional stochastic regularity model
di: Angelini, Daniele, et al.
Pubblicazione: (2024)

Stochastic Approaches to Asset Price Analysis
di: Sekatchev, Michael, et al.
Pubblicazione: (2024)

SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks
di: Brini, Alessio, et al.
Pubblicazione: (2024)

Exploiting Distributional Value Functions for Financial Market Valuation, Enhanced Feature Creation and Improvement of Trading Algorithms
di: Grab, Colin D.
Pubblicazione: (2024)

Model-Free Deep Hedging with Transaction Costs and Light Data Requirements
di: Brugière, Pierre, et al.
Pubblicazione: (2025)