Cryptocurrency volatility forecasting: What can we learn from the first wave of the COVID-19 outbreak? [PDF]
Ann Oper Res, 2021 Ftiti Z, Louhichi W, Ben Ameur H.
europepmc +1 more source
Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure [PDF]
This paper decomposes volatility proxies according to upward and downward price movements in high-frequency financial data, and uses this decomposition for forecasting volatility.
Visser, Marcel P.
core +1 more source
Conductance‐Dependent Photoresponse in a Dynamic SrTiO3 Memristor for Biorealistic Computing
Advanced Functional Materials, EarlyView.A nanoscale SrTiO3 memristor is shown to exhibit dynamic synaptic behavior through the interaction of local electrical and global optical signals. Its photoresponse depends quantitatively on the conductance state, which evolves and decays over tunable timescales, enabling ultralow‐power, biorealistic learning mechanisms for advanced in‐memory and ...
Christoph Weilenmann +8 more
wiley +1 more source
Volatility forecasting of crude oil futures based on a genetic algorithm regularization online extreme learning machine with a forgetting factor: The role of news during the COVID-19 pandemic. [PDF]
Resour Policy, 2021 Weng F, Zhang H, Yang C.
europepmc +1 more source
Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility [PDF]
Quantile forecasts are central to risk management decisions because of the widespread use of Value-at-Risk. A quantile forecast is the product of two factors : the model used to forecast volatility, and the method of computing quantiles from the ...
Clements, Michael P. +2 more
core
Trap‐Assisted Transport and Neuromorphic Plasticity in Lead‐Free 2D Perovskites PEA2SnI4
Advanced Functional Materials, EarlyView.An artificial retina built from lead‐free layered perovskite (PEA)2SnI4 converts light input into a persistent photocurrent and sums successive flashes over time. Micro/nanocrystals integrated on electrodes act as synapse‐like pixels that perform temporal integration directly in hardware. This in‐sensor preprocessing merges detection and computation on
Ofelia Durante +17 more
wiley +1 more source
Stock market returns, volatility, and future output [PDF]
In this article, Hui Guo shows that, if stock volatility follows an AR(1) process, stock market returns relate positively to past volatility but relate negatively to contemporaneous volatility in Merton’s (1973) Intertemporal Capital Asset Pricing Model.
Hui Guo
core
Advanced Functional Materials, EarlyView.This study introduces a novel chloro boron subphthalocyanine/polymer blend OFET sensor achieving 0.005 ppb limit of detection for ammonia at room temperature and high selectivity against similar amines. An original theoretical framework is proposed to describe the sensing mechanism, relating analyte molecular volume and Lewis basicity to sensor ...
Kavinraaj Ella Elangovan +6 more
wiley +1 more source
Forecasting volatility: does continuous time do better than discrete time? [PDF]
In this paper we compare the forecast performance of continuous and discrete-time volatility models. In discrete time, we consider more than ten GARCH-type models and an asymmetric autoregressive stochastic volatility model.
Carles Bretó, Helena Veiga
core
Mechanoregulatory Effects of Cell‐Scale Microwells on Epithelial Cell Phenotype
Advanced Functional Materials, EarlyView.In small polycaprolactone microwells, A549 epithelial cells span well edges, in contrast to cells growing on flat substrates. Focal adhesion sites (yellow) concentrate at topographic boundaries, while cytoskeletal tension (magenta stress fibers) is transmitted to the nucleus (blue), reducing nuclear sphericity.
Ruiwen He +10 more
wiley +1 more source