Ensembling two deep learning algorithms to efficiently solve the problem of predicting volatility in applied finance [PDF]
E3S Web of Conferences, 2023 Volatility is one of the most commonly used terms in the trading platform. In financial markets, volatility reflects the magnitude of price fluctuations.
Pylov Petr +2 more
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Asset price volatility and price extrema
Discrete & Continuous Dynamical Systems - B, 2020 The relationship between price volatilty and a market extremum is examined using a fundamental economics model of supply and demand. By examining randomness through a microeconomic setting, we obtain the implications of randomness in the supply and demand, rather than assuming that price has randomness on an empirical basis.
Caginalp, Carey, Caginalp, Gunduz
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PRICE VOLATILITY ANALYSIS OF CAYENNE PEPPER (Capsicum frutescens) IN EAST JAVA
AGRISE, 2020 The fluctuations in the price of cayenne are still a problem that continues to occur throughout the year. In certain seasons, the increase in the price of cayenne is quite significant, affecting the rate of increase.
Aisyah Mandarsari +2 more
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Macroeconomic Effects of Grain Price Volatility in Morocco
New Medit, 2023 This paper investigate how cereal price volatility impacts import bill, tax revenue and foreign exchange reserves in Morocco. It uses GARCH family models to characterize the price and exchange rate volatility functions, ARDL model and Toda and
Mohammed Adil Jouamaa +1 more
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Dividend Policy and Stock Price Volatility: A Study on Indonesian Manufacturing Companies
Management Analysis Journal, 2022 The purpose of this study was to examine and analyze the effect of dividend policy on stock price volatility in manufacturing companies listed on Indonesia Stock Exchange from 2019-2020.
Siti Ridloah +3 more
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Dividend policy and share price volatility: empirical evidence from Vietnam [PDF]
Accounting, 2020 This paper was conducted to examine the relationship between dividend policy and share price volatility of companies listed on Hochiminh Stock Exchange (HOSE) in Vietnam. Data set used in this research was compiled from financial statements of 260 listed
Thanh Hieu Nguyen +3 more
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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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VOLATILITIES AND TRENDS OF GARLIC PRICE BEFORE AND ENTERING THE COVID-19 PANDEMIC IN NTT [PDF]
Russian Journal of Agricultural and Socio-Economic Sciences, 2020 Disparities and price fluctuations in archipelagos regions such as NTT province can create inter-regional garlic price volatility. The distribution pattern of garlic trading in NTT is often hampered by limited marketing infrastructure, distribution ...
Nendissa D.R. +4 more
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Pricing Under Rough Volatility
SSRN Electronic Journal, 2015 From an analysis of the time series of volatility using recent high frequency data, Gatheral, Jaisson and Rosenbaum [SSRN 2509457, 2014] previously showed that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of order 0.1, at any reasonable time scale.
Bayer, Christian +2 more
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Maximum likelihood approach for several stochastic volatility models
, 2012 Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable.
Camprodon, Jordi, Perelló, Josep
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