Results 251 to 260 of about 1,232,714 (272)

Volume, Volatility, Price, and Profit When All Traders are Above Average

, 1998
People are overconfident. Overconfidence affects financial markets. How depends on who in the market is overconfident and on how information is distributed.
Terrance Odean
semanticscholar   +1 more source

A Stochastic Volatility Model, Volatility Smile and Forecasting Volatility

SSRN Electronic Journal, 2004
In this paper we propose a stochastic valuation model based on the Fourier transform for option price. This model can be used for the valuation of European options, characterized by two state variables: the price of the underlying asset and its volatility.
openaire   +2 more sources

Asymmetric Volatility in Cryptocurrencies

Economics Letters, 2018
This article analyzes asymmetric volatility effects for the 20 largest cryptocurrencies and reports a very different asymmetry compared to equity markets: positive shocks increase the volatility by more than negative shocks.
D. Baur, T. Dimpfl
semanticscholar   +1 more source

Board Structure and the Volatility of Volatility

SSRN Electronic Journal, 2020
Using the NYSE/NASDAQ listing rule changes to establish causality, we are the first to empirically show that board structure can significantly reduce the volatility of volatility of stock returns, which can be a consequence of erratic decision-making. The effect is moderated by firm characteristics such as size and fundamental risk.
Sebastian Trabert, Alexander Merz
openaire   +2 more sources

Trade fragmentation and volatility-of-volatility networks

Journal of International Financial Markets, Institutions and Money
International ...
Bastidon, Cécile, Jawadi, Fredj
openaire   +3 more sources

Nonvolatile, semivolatile, or volatile: Redefining volatile for volatile organic compounds

Journal of the Air & Waste Management Association, 2014
Although widely used in air quality regulatory frameworks, the term "volatile organic compound" (VOC) is poorly defined. Numerous standardized tests are currently used in regulations to determine VOC content (and thus volatility), but in many cases the tests do not agree with each other, nor do they always accurately represent actual evaporation rates ...
Uyên-Uyên T. Võ, Michael P. Morris
openaire   +3 more sources

Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Thephlx Deutschemark Options

, 1993
An efficient method is developed for pricing American options on combination stochastic volatility/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing models.
David S. Bates
semanticscholar   +1 more source

What Can Explain the Price, Volatility and Trading Volume of Bitcoin?

Finance Research Letters, 2018
We study which variables can explain and predict the return, volatility and trading volume of Bitcoin. The considered variables are return, volatility, trading volume, transaction volume, change in the number of unique Bitcoin addresses, the VIX index ...
H. Aalborg, Péter Molnár, Jon Erik de Vries   +2 more
semanticscholar   +1 more source

Correlations in Price Changes and Volatility Across International Stock Markets

, 1990
The short-run interdependence of prices and price volatility across three major international stock markets is studied. Daily opening and closing prices of major stock indexes for the Tokyo, London, and New York stock markets are examined.
Yasushi Hamao, Ronald W. Masulis, Victor K. Ng   +2 more
semanticscholar   +1 more source

Asymmetric Volatility and Volatility Spillovers

2016
Why indeed is volatility asymmetrical? Wholly apart from their epochal methodological contributions, providing an answer to this question may be the greatest theoretical advance traceable to time series models. This chapter will explore three distinct accounts of asymmetrical volatility.
openaire   +2 more sources