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Impact of Idiosyncratic Volatility on Average Stock Returns: Evidence from Sri Lanka [PDF]
Colombo Business Journal, 2020 The complete diversification of idiosyncratic volatility is questionable due to factors such as market imperfections, investor irrationality and managerial decisions.
H. A. P. K. Perera
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Entropy Based Student’s t-Process Dynamical Model
Entropy, 2021 Volatility, which represents the magnitude of fluctuating asset prices or returns, is used in the problems of finance to design optimal asset allocations and to calculate the price of derivatives.
Ayumu Nono +2 more
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Influence of Real Exchange Rate on the Finance-Growth Nexus in the West African Region
Economies, 2019 This study examines the moderating effects of the real exchange rate and its volatility on the finance-growth nexus in the West African region. It also determines the marginal effects of financial development on economic growth at various levels of the ...
Kizito Uyi Ehigiamusoe, Hooi Hooi Lean
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Evaluation of the Fluctuation Mechanism of Behavioral Financial Market Based on Edge Computing
International Transactions on Electrical Energy Systems, 2022 The global economy is growing faster and faster. Behavioral finance is a transformation of financial theory. Over the past decade, this shift has had strong repercussions in academia, challenging the dominance of traditional finance and forming its own ...
Xiaoliang Yuan
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Forecasting the Volatility of the Stock Index with Deep Learning Using Asymmetric Hurst Exponents
Fractal and Fractional, 2022 The prediction of the stock price index is a challenge even with advanced deep-learning technology. As a result, the analysis of volatility, which has been widely studied in traditional finance, has attracted attention among researchers.
Poongjin Cho, Minhyuk Lee
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Analysis of Investor Sentiment Impact in Indonesia Composite Stock Price Index Return Volatility
Indonesian Journal of Business and Entrepreneurship, 2018 The Composite Stock Price Index (IHSG) is an index used as an indicator of stock price movements on Indonesia Stock Exchange and reference of capital market activities.
Rum Puspita Widhiarti +2 more
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Liquidity-free implied volatilities: An approach using conic finance [PDF]
International Journal of Financial Engineering, 2021 In this paper, we consider the problem of calculating risk-neutral implied volatilities of European options without relying on option mid prices but solely on bid and ask prices. We provide an approach, based on the conic finance paradigm, that allows to uniquely strip risk-neutral implied volatilities from bid and ask quotes, and that does not ...
Michielon, M., Khedher, A., Spreij, P.
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Investor attention and cryptocurrency: Evidence from the Bitcoin market.
PLoS ONE, 2021 This paper adds to the growing literature of cryptocurrency and behavioral finance. Specifically, we investigate the relationships between the novel investor attention and financial characteristics of Bitcoin, i.e., return and realized volatility, which ...
Panpan Zhu +4 more
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Corporate financing and macroeconomic volatility in the European union [PDF]
International Economics and Economic Policy, 2010 This paper investigates the impact of corporate financing patterns in the European Union (EU) on macroeconomic volatility. We examine macroeconomic data for eight EU countries. We find that during the period 1990 through 2005 bank financing was positively associated with volatility in GDP, consumption and investment.
Andy Mullineux +2 more
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Journal of Inequalities and Applications, 2019 Stochastic volatility models play an important role in finance modeling. Under a mixed fractional Brownian motion environment, we study the continuity and estimates of a solution to a kind of stochastic differential equations with double volatility terms.
Yan Dong
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