Multifractal Volatility
  • Author : Laurent E. Calvet
  • Release Date : 13 October 2008
  • Publisher : Academic Press
  • Genre : Business & Economics
  • Pages : 272
  • ISBN 13 : 0080559964
Ratings: 4
From 1 Voters
Get This Book

Multifractal Volatility Book Summary

Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. Presents a powerful new technique for forecasting volatility Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research

Multifractal Volatility

Multifractal Volatility

Author : Laurent E. Calvet,Adlai J. Fisher
Publisher : Academic Press
Genre : Business & Economics
Total View : 6692 Views
File Size : 47,5 Mb
Get Book

Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as ...

Research on Volatility and Contagion Effect in Stock Market

Research on Volatility and Contagion Effect in Stock Market

Author : Dexiang Mei,Wang Chen,Yunyun Sun
Publisher : Scientific Research Publishing, Inc. USA
Genre : Art
Total View : 8981 Views
File Size : 49,5 Mb
Get Book

The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes ...

The Oxford Handbook of Computational Economics and Finance

The Oxford Handbook of Computational Economics and Finance

Author : Shu-Heng Chen,Mak Kaboudan,Ye-Rong Du
Publisher : Oxford University Press
Genre : Business & Economics
Total View : 9112 Views
File Size : 48,7 Mb
Get Book

The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of ...

Theory of Financial Risk and Derivative Pricing

Theory of Financial Risk and Derivative Pricing

Author : Jean-Philippe Bouchaud,Marc Potters
Publisher : Cambridge University Press
Genre : Business & Economics
Total View : 9260 Views
File Size : 50,9 Mb
Get Book

This 2003 book summarizes theoretical developments in statistical tools to measure financial markets, for students and professionals in econophysics and analytical markets....

Fractal Geometry and Dynamical Systems in Pure and Applied Mathematics II

Fractal Geometry and Dynamical Systems in Pure and Applied Mathematics II

Author : David Carfi,Michel L. Lapidus,Erin P. J. Pearse,Machiel van Frankenhuijsen
Publisher : American Mathematical Soc.
Genre : Mathematics
Total View : 5250 Views
File Size : 40,7 Mb
Get Book

This volume contains the proceedings from three conferences: the PISRS 2011 International Conference on Analysis, Fractal Geometry, Dynamical Systems and Economics, held November 8-12, 2011 in Messina, Italy; the AMS Special Session on Fractal Geometry in Pure and Applied Mathematics, in memory of Benoît Mandelbrot, held January 4-7, 2012, in Boston, MA; ...

Macroeconometrics and Time Series Analysis

Macroeconometrics and Time Series Analysis

Author : Steven Durlauf,L. Blume
Publisher : Springer
Genre : Business & Economics
Total View : 6955 Views
File Size : 54,6 Mb
Get Book

Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool....

Frontiers of Fractal Analysis

Frontiers of Fractal Analysis

Author : Santo Banerjee,A. Gowrisankar
Publisher : CRC Press
Genre : Mathematics
Total View : 3153 Views
File Size : 53,8 Mb
Get Book

The history of describing natural objects using geometry is as old as the advent of science itself, in which traditional shapes are the basis of our intuitive understanding of geometry. However, nature is not restricted to such Euclidean objects which are only characterized typically by integer dimensions. Hence, the conventional ...

Dynamical Systems with Applications using MATLAB

Dynamical Systems with Applications using MATLAB

Author : Stephen Lynch
Publisher : Springer
Genre : Mathematics
Total View : 7691 Views
File Size : 46,9 Mb
Get Book

This textbook, now in its second edition, provides a broad introduction to both continuous and discrete dynamical systems, the theory of which is motivated by examples from a wide range of disciplines. It emphasizes applications and simulation utilizing MATLAB®, Simulink®, the Image Processing Toolbox® and the Symbolic Math toolbox®, including ...