Properties of High Frequency DAX Returns PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Properties of High Frequency DAX Returns PDF full book. Access full book title Properties of High Frequency DAX Returns by Philippe Masset. Download full books in PDF and EPUB format.
Author: Philippe Masset
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
Get Book Here
Book Description
This paper analyzes the behavior of the German DAX index intraday returns. We devote particular attention to three related empirical issues. First we provide an up-to-date characterization of the DAX intraday volatility patterns. They are mostly W-shaped with peaks at the opening, at 2.30pm and before the closing. We find some evidence suggesting that the implied volatility also follows some deterministic patterns over the trading day. Second we identify jumps in DAX returns. On jump days, they account on average for 15% to 25% of the daily variance. Jumps also tend to cluster and are not evenly distributed throughout the trading day. Third we estimate the impact of a price jump on volatility. We consider different proxies for volatility: absolute returns, implied volatility and realized volatility. Our results indicate that negative jumps trigger a strong upward correction in volatility. This correction starts just after a jump occured and persists during up to 25 minutes. On the other hand, positive jumps seem to have a much less significant impact on volatility. These results hold for all volatility proxies but they are more significant when we consider the implied volatility.
Author: Philippe Masset
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
Get Book Here
Book Description
This paper analyzes the behavior of the German DAX index intraday returns. We devote particular attention to three related empirical issues. First we provide an up-to-date characterization of the DAX intraday volatility patterns. They are mostly W-shaped with peaks at the opening, at 2.30pm and before the closing. We find some evidence suggesting that the implied volatility also follows some deterministic patterns over the trading day. Second we identify jumps in DAX returns. On jump days, they account on average for 15% to 25% of the daily variance. Jumps also tend to cluster and are not evenly distributed throughout the trading day. Third we estimate the impact of a price jump on volatility. We consider different proxies for volatility: absolute returns, implied volatility and realized volatility. Our results indicate that negative jumps trigger a strong upward correction in volatility. This correction starts just after a jump occured and persists during up to 25 minutes. On the other hand, positive jumps seem to have a much less significant impact on volatility. These results hold for all volatility proxies but they are more significant when we consider the implied volatility.
Author: Florian Jacob
Publisher: Springer
ISBN: 3658093897
Category : Mathematics
Languages : en
Pages : 78
Get Book Here
Book Description
By studying the ability of the Normal Tempered Stable (NTS) model to fit the statistical features of intraday data at a 5 min sampling frequency, Florian Jacobs extends the research on high frequency data as well as the appliance of tempered stable models. He examines the DAX30 returns using ARMA-GARCH NTS, ARMA-GARCH MNTS (Multivariate Normal Tempered Stable) and ARMA-FIGARCH (Fractionally Integrated GARCH) NTS. The models will be benchmarked through their goodness of fit and their VaR and AVaR, as well as in an historical Backtesting.
Author:
Publisher:
ISBN:
Category : Business
Languages : en
Pages : 1098
Get Book Here
Book Description
Author: Sudhakar Radhakrishnan
Publisher: BoD – Books on Demand
ISBN: 1789234328
Category : Computers
Languages : en
Pages : 270
Get Book Here
Book Description
This book is intended to attract the attention of practitioners and researchers in the academia and industry interested in challenging paradigms of wavelets and its application with an emphasis on the recent technological developments. All the chapters are well demonstrated by various researchers around the world covering the field of mathematics and applied engineering. This book highlights the current research in the usage of wavelets in different areas such as biomedical analysis, fringe-pattern analysis, image applications, network data transfer applications, and optical measurement techniques. The entire work available in the book is mainly focusing on researchers who can do quality research in the area of the usage of wavelets in related fields. Each chapter is an independent research, which will definitely motivate the young researchers to ponder on. These 12 chapters available in four sections will be an eye opener for all who are doing systematic research in these fields.
Author: Ingmar Nolte
Publisher: Routledge
ISBN: 1317570774
Category : Business & Economics
Languages : en
Pages : 325
Get Book Here
Book Description
This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.
Author: Bo Hu
Publisher: Springer Science & Business Media
ISBN: 3642200095
Category : Business & Economics
Languages : en
Pages : 664
Get Book Here
Book Description
This book contains selected papers from the symposium "Operations Research 2010" which was held from September 1-3, 2010 at the "Universität der Bundeswehr München", Germany. The international conference, which also serves as the annual meeting of the German Operations Research Society (GOR), attracted more than 600 participants from more than thirty countries. The general theme "Mastering Complexity" focusses on a natural component of the globalization process. Financial markets, traffic systems, network topologies and, last but not least, energy resource management, all contain complex behaviour and economic interdependencies which necessitate a scientific solution. Operations Research is one of the key instruments to model, simulate and analyze such systems. In the process of developing optimal solutions, suitable heuristics and efficient procedures are some of the challenges which are discussed in this volume.
Author: Robert A. Meyers
Publisher: Springer Science & Business Media
ISBN: 1441977007
Category : Business & Economics
Languages : en
Pages : 919
Get Book Here
Book Description
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Author: Jihyun Lee
Publisher:
ISBN:
Category :
Languages : en
Pages : 57
Get Book Here
Book Description
This study investigates the relationship between the return on a stock index and its volatility using high frequency data. Two well-known hypotheses are reexamined: the leverage effect and the volatility feedback effect hypotheses. In an analysis of the five-minute data from the Samp;P500 index, two distinct characteristics of high frequency data were found. First, it was noted that the sign of the relationship between the smallest wavelet scale components for return and volatility differs from those between other scale components. Second, it was found that long memory exists in the daily realized volatility. The study further demonstrates how these findings affect the risk and return relationship.In the regression of changes in volatility on returns, it was found that the leverage effect does not appear in intraday data, in contrast to the results for daily data. It is believed that the difference can be attributed to the different relationships between scale components. By applying wavelet multiresolution analysis, it becomes clear that the leverage effect holds true between return and volatility components with scales equal to or larger than twenty minutes. However, these relationships are obscured in a five-minute data analysis because the smallest scale component accounts for a dominant portion of the variation of return. In testing the volatility feedback hypothesis, a modified model was used to incorporate apparent long memory in the daily realized volatility. This makes both sides of the test model balanced in integration order. No evidence of a volatility feedback effect was found under these stipulations.The results of this study reinforce the horizon dependency of the relationships. Hence, investors should assume different risk-return relationships for each horizon of interest. Additionally, the results show that the introduction of the long memory property to the proposed model is critical in the testing of risk-return relationships.
Author: Johannes Voit
Publisher: Springer Science & Business Media
ISBN: 3662051257
Category : Mathematics
Languages : en
Pages : 298
Get Book Here
Book Description
This textbook describes parallels between statistical physics and finance - both those established in the 100-year-long interaction between these disciplines, as well as new research results on capital markets. The random walk, well known in physics, is also the basic model in finance, upon which are built, for example, the Black--Scholes theory of option pricing and hedging, or methods of risk control using diversification. Here the underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated. Computer simulations of interacting agent models of financial markets provide insights into the origins of asset price fluctuations. Stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes. These models allow for predictions. This study edition has been updated with a presentation of several new and significant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new and accurate simulation scheme for options, multifractals, the application of nonextensive statistical mechanics to financial markets, and the minority game. Moreover, the book was scanned for and corrected from errors, both typographical and in presentation.
Author:
Publisher:
ISBN:
Category : Aeronautics
Languages : en
Pages : 956
Get Book Here
Book Description
