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Methods in econophysics: Estimating the probability density and volatility [PDF]
Frontiers in Physics, 2022 We discuss and analyze some recent literature that introduced pioneering methods in econophysics. In doing so, we review recent methods of estimating the volatility, volatility of volatility, and probability densities.
Moawia Alghalith
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Introduction: Volatility in finance, art, and culture
Finance and Society, 2023 The term ‘volatility’ applies to changeability: both that which can be measured, such as temperatures and stock prices, and that which cannot be easily measured, such as affects and emotions.
Benjamin Lee, Emily Rosamond
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Finance and Macroeconomic Volatility [PDF]
Contributions in Macroeconomics, 2000 Countries with more developed financial sectors experience less fluctuation in the growth of real per capita output, consumption and investment. However, the manner in which the financial sector develops matters. The relative importance of banks in the financial system is important in explaining consumption and investment volatility, and the proportion
Denizer, Cevdet +2 more
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The Use of Machine Learning in Volatility: A Review Using K-Means
Universidad y Empresa, 2023 Recently, the use of machine learning (ML) in scientific disciplines has experienced an unprecedented increase. Finance has not been an exception. Several works have been published in recent years using ml techniques. However, one of the topics with the
Jesus Enrique Molina Muñoz +1 more
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Does green finance support to reduce the investment sensitivity of environmental firms?
Journal of Business Economics and Management, 2023 This study aims to examine the financing cash flow sensitivity into the firm investment of Environment Sensitive Firms (ESFs). To improve the robustness of our analysis, we implement cluster regression to analyze the 300- firms listed on Shenzhen Stock ...
Ashfaq Habib +2 more
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The impact of trade and financial expansion on volatility of real exchange rate
PLoS ONE, 2022 With the steady progress of China’s opening-up policy, how to avoid the financial risks brought by opening-up is a valuable research topic at present while promoting economic development.
Zhe Chen
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ISLAMIC FINANCE, GROWTH, AND VOLATILITY: A FRESH EVIDENCE FROM 82 COUNTRIES
Journal of Islamic Monetary Economics and Finance, 2023 Islamic finance has gained significant attention during the past decades. Many countries are striving to become Islamic financial hubs. The asset-backed nature of Islamic financial instruments and products adds more reliability to financial transactions.
Mudeer A Khattak, Noureen A. Khan
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The fractional volatility model and rough volatility [PDF]
International Journal of Theoretical and Applied Finance 26,
2350010 (2023), 2022 The question of the volatility roughness is interpreted in the framework of a data-reconstructed fractional volatility model, where volatility is driven by fractional noise. Some examples are worked out and also, using Malliavin calculus for fractional processes, an option pricing equation and its solution are obtained.
arxiv +1 more source
Multivariate volatility in environmental finance [PDF]
Mathematics and Computers in Simulation, 2008 There exist several important benchmark indexes in environmental finance, some computed by well-known financial index providers such as the Dow Jones group and others by independent agencies specializing in environmentally and socially responsible investing in finance.
Michael McAleer +2 more
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Finance and Society, 2023 This article explores the quantitative and qualitative dimensions of volatility and their implications for cultural analysis in a range of fields. From quantitative finance, it takes the notion of ‘delta-hedging’, the suspension or neutralization of ...
Benjamin Lee
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