Results 11 to 20 of about 2,875,960 (305)

A framework for robust measurement of implied correlation [PDF]

Journal of Computational and Applied Mathematics, 2013
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Daniël Linders, Wim Schoutens
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Implied Correlation from VaR [PDF]

SSRN Electronic Journal, 2007
Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and UK equity indexes show that implied correlation is not constant but tends to be higher for events in the left tails (crashes) than in
Cotter, John, Longin, François
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Implied basket correlation dynamics [PDF]

Statistics & Risk Modeling, 2016
Abstract Equity basket correlation can be estimated both using the physical measure from stock prices, and also using the risk neutral measure from option prices. The difference between the two estimates motivates a so-called “dispersion strategy”.
Wolfgang Karl Härdle, Elena Silyakova
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Quantum correlations which imply causation [PDF]

Scientific Reports, 2015
AbstractIn ordinary, non-relativistic, quantum physics, time enters only as a parameter and not as an observable: a state of a physical system is specified at a given time and then evolved according to the prescribed dynamics. While the state can and usually does, extend across all space, it is only defined at one instant of time.
Fitzsimons, J.F, Jones, J.A, Vedral, V
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When Correlation Implies Causation in Multisensory Integration [PDF]

Current Biology, 2012
Inferring which signals have a common underlying cause, and hence should be integrated, represents a primary challenge for a perceptual system dealing with multiple sensory inputs [1-3]. This challenge is often referred to as the correspondence problem or causal inference.
Parise, Cesare, Spence, Charles, Ernst, Marc O.   +2 more
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The Causal Loss: Driving Correlation to Imply Causation

CoRR, 2021
Main paper: 8 pages, References: 2 pages, Appendix: 3 pages. Figures: 4 main, 4 appendix.
Moritz Willig, Matej Zecevic, Devendra Singh Dhami, Kristian Kersting   +3 more
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The variance implied conditional correlation [PDF]

The European Journal of Finance, 2019
We apply univariate GARCH models to construct a computationally simple filter for estimating the conditional correlation matrix of asset returns. The proposed Variance Implied Conditional Correlation (VICC) exploits the polarization result that links the correlation between two standardized variables with the variances of linear combinations thereof ...
Andres Algaba, Kris Boudt, Steven Vanduffel   +2 more
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Quanto Implied Correlation in a Multi-LLvy Framework [PDF]

SSRN Electronic Journal, 2015
In this paper we apply the multivariate construction for Lévy processes introduced by Ballotta and Bonfiglioli (2014) to propose an integrated model for the joint dynamics of FX exchange rates and asset prices. We show that the proposed construction is consistent in terms of symmetries with respect to inversion and triangulation, and provides an ...
Ballota, Laura, Deelstra, Griselda, Rayée, Grégory   +2 more
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Exponential Decay of Correlations Implies Area Law [PDF]

Communications in Mathematical Physics, 2014
We prove that a finite correlation length, i.e. exponential decay of correlations, implies an area law for the entanglement entropy of quantum states defined on a line. The entropy bound is exponential in the correlation length of the state, thus reproducing as a particular case Hastings proof of an area law for groundstates of 1D gapped Hamiltonians ...
Fernando G. S. L. Brandão, Michał Horodecki   +1 more
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Implied motion activation in cortical area MT can be explained by visual low-level features [PDF]

, 2011
To investigate form-related activity inmotion-sensitive cortical areas, we recorded cell responses to animate implied motion in macaque middle temporal (MT) and medial superior temporal (MST) cortex and investigated these areas using fMRI in humans.
van Wezel, Richard J. A., Nick E. Barraclough, Xiao, Dengke, Perrett, David I., Jacob Duijnhouwer, van Wezel, Richard J.A., Xiao, D.K., Barraclough, Nick E., Barraclough, N., Duijnhouwer, J., Xiao, D., Jeannette A. M. Lorteije, Dengke Xiao, Lorteije, J.A., Mike W. Oram, van Wezel, Richard Jack Anton, Lorteije, Jeannette A. M., Oram, Mike W., David I. Perrett, Duijnhouwer, Jacob, Lorteije, J.A.M., Lorteije, Jeannette A.M., Oram, M.W., Mathijs Raemaekers, Lankheet, Martin J. M., Raemaekers, Mathijs, Jellema, Tjeerd, Richard J. A. van Wezel, Wezel, R.J.A., Lankheet, Martin J.M., Perrett, D.I., Raemaekers, M., Lankheet, M.J.M., Barraclough, N.E., Jellema, T., Martin J. M. Lankheet, Wezel, R.J.A. van, Tjeerd Jellema   +37 more
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