Results 41 to 50 of about 1,369,451 (372)
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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The Relationship Between Implied Volatility and Cryptocurrency Returns
Finance Research Letters, 2020 We analyse the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively.
Erdinç Akyıldırım +4 more
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Forecasting Foreign Exchange Volatility Using Deep Learning Autoencoder-LSTM Techniques
Complex, 2021 Since the breakdown of the Bretton Woods system in the early 1970s, the foreign exchange (FX) market has become an important focus of both academic and practical research.
Gunho Jung, S. Choi
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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.
Ibtissam, Medarhri +2 more
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Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models [PDF]
Quantitative finance (Print), 2019 We present a neural network-based calibration method that performs the calibration task within a few milliseconds for the full implied volatility surface.
Blanka Horvath, Aitor Muguruza, M. Tomas
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ESTIMASI NILAI IMPLIED VOLATILITY MENGGUNAKAN SIMULASI MONTE CARLO
E-Jurnal Matematika, 2018 Investing among investors is an exciting activity to gain profit in the financial world. The development of investment in the financial world affects the number of alternative investment instruments that can be offered to investors in the capital market.
MAKBUL MUFLIHUNALLAH +2 more
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Behavioral finance impacts on US stock market volatility: an analysis of market anomalies
Behavioural Public PolicyThis study investigates the impacts of behavioral finance on stock market volatility. The primary aims are to explain the reasons behind changes in the S&P 500 price within the context of behavioral finance and to analyze investor behavior in response ...
Isik Akin, Meryem Akin
semanticscholar +1 more source
Semi-parametric Model of Idiosyncratic Volatility Pricing by Explaining the Arbitrage Risk [PDF]
تحقیقات مالی, 2020 Objective: The relationship between idiosyncratic volatility and expected return in finance has become a puzzle. While, based on modern portfolio theory, the relationship between risk and expected return is positive, many studies find a negative ...
Mehdi Asima, Reza Eyvazloo
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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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Macroeconomic Volatility and its Significance to the Rising External Indebtedness of Nigeria
Maliye Çalışmaları Dergisi, 2021 The motivation of this study has been to identify the effects of the multidimensional perspectives of macroeconomic volatility on the growth of external debt in Nigeria from 1970 to 2018. Methodologically, the Auto-Regressive Distributed Lag (ARDL) model
Samson Adeniyi Aladejare
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