Results 41 to 50 of about 185,677 (330)
Mathematics, 2023 We examine the daily dependence and directional predictability between the returns of crude oil and the Crude Oil Volatility Index (OVX). Unlike previous studies, we apply a battery of quantile-based techniques, namely the quantile unit root test, the ...
Bechir Raggad, Elie Bouri
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Model-Free Backward and Forward Nonlinear PDEs for Implied Volatility [PDF]
The Journal of Derivatives, 2020 31 pages, 9 figures, 2 ...
Sasha Stoikov, Andrey Itkin, Peter Carr
openaire +3 more sources
International Journal of Innovation Studies, 2018 This study examines whether the number of forward patent citations (along with alternative patent data)—when used as a proxy for the mixing variable—could infer the aggregate amount of economic-innovation information arriving at the New York Stock ...
Chamil W. Senarathne, Jianguo Wei
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Beyond Order: Perspectives on Leveraging Machine Learning for Disordered Materials
Advanced Engineering Materials, EarlyView.This article explores how machine learning (ML) revolutionizes the study and design of disordered materials by uncovering hidden patterns, predicting properties, and optimizing multiscale structures. It highlights key advancements, including generative models, graph neural networks, and hybrid ML‐physics methods, addressing challenges like data ...
Hamidreza Yazdani Sarvestani +4 more
wiley +1 more source
Approaches to forecasing option volatility
Вестник Российского экономического университета имени Г. В. Плеханова, 2018 The article investigates a new approach to the idea of volatility. In spite of the well-known assumption that option volatility in future will be exactly the same as today, the author puts forward a method, which links the change in volatility to change ...
A. V. Azatskiy
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Stock Price Dynamics and Option Valuations under Volatility Feedback Effect [PDF]
, 2012 According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio.
Kanniainen, Juho, Piché, Robert
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Advanced Engineering Materials, EarlyView.Phase diagrams of transition‐metal di‐pnictides have been efficiently and quickly explored by combinatorial deposition of transition‐metal films and subsequent antimonization enabling the study of compounds with volatile elements. In (Fe,Ni)Sb2 and the (Fe,Cr)Sb2 substitution series, phase separation has been evidenced between class‐A and B marcasites ...
Martin Kostka +8 more
wiley +1 more source
Volatility Spillovers in Capesize Forward Freight Agreement Markets [PDF]
Scientific Programming, 2016 This paper is to investigate spillovers in the Capesize forward freight agreements (FFAs) markets before and after the global financial crisis. The paper chooses four Capesize voyage routes FFAs (C3, C4, C5, and C7), two time-charter routes FFAs (BCIT/C average, BPI T/C average), and spot rates as research subjects, covering the periods 3 January 2006 ...
Xiaoxing Gong, Jing Lu
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Advanced Engineering Materials, EarlyView.A simulative evaluation of triply periodic minimal surface (TPMS) structures for an elastocaloric application under compressive load is performed. For the evaluation of the structure's performance, surface/volume ratio, generated heat and invested mechanical work are taken into account and are compared to a tube as a reference specimen.
Michael Fries +3 more
wiley +1 more source
Journal of Management and Research, 2015 This paper attempts to reveal whether the foreign exchange (FX) derivatives market effectively and efficiently reduces the volatility to foreign exchange rate fiuctuations.
RAAD MOZIB LALON
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