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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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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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UPSHOT OF DERIVATIVES ON SPOT MARKET VOLATILITY- AN INDUSTRY SPECIFIC ANALYSIS ON INDIAN STOCK MARKET [PDF]
ICTACT Journal on Management Studies, 2015 This paper attempts tocheck whether the spot market volatility variation is an act of derivatives or merely industry specific factors only. This study is based on 23 stocks of six different industries of the Indian stock market.
K. Kannan, G. Balamurugan
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International Review of Economics & FinanceBased on panel data of Chinese listed companies from 2011 to 2023, this paper systematically analyzes the impact and mechanisms of digital supply chain finance on corporate cash flow volatility.
Jing Xue, Yifei Qu
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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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An alternative algorithm for regularization of noisy volatility calibration in Finance [PDF]
Revue Africaine de Recherche en Informatique et Mathématiques Appliquées, 2016 This contribution is an extension of the work initiated in [1], presenting a strategy for the calibration of the local volatility. Due to Morozov's discrepancy principle [6], the Tikhonov regularization problem introduced in [7] is understood as an inequality-constrained minimization problem.
Medarhri Ibtissam +2 more
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Cogent Economics & FinanceThis study explores the volatility spillover effects between clean and dirty cryptocurrencies and key financial indices, specifically focusing on Green Finance Indices (such as solar, wind, and nuclear) and Economic Indices (like the Baltic Dry Index and
Iulia Cristina Iuga +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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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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Advanced Engineering Materials, EarlyView.Controlling the Field Assisted Sintering Technology (FAST) parameters, dwell temperature and cooling rate, significantly influences the microstructural evolution in titanium aluminide GE4822. Significant γ‐lamellar colonies develop only upon cooling through the α‐transus.
Jack Krohn, James Pepper, Martin Jackson
wiley +1 more source