Heterogeneous volatility cascade in financial markets
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DOI: 10.1016/S0378-4371(01)00249-7
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"Recurrent Neural Networks with more flexible memory: better predictions than rough volatility,"
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- Ramazan Gencay & Nikola Gradojevic & Faruk Selcuk & Brandon Whitcher, 2010.
"Asymmetry of information flow between volatilities across time scales,"
Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 895-915.
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- Leunga Njike, Charles Guy & Hainaut, Donatien, 2024. "Affine Heston model style with self-exciting jumps and long memory," LIDAM Discussion Papers ISBA 2024001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Julien Idier, 2011.
"Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models,"
The European Journal of Finance, Taylor & Francis Journals, vol. 17(1), pages 27-48.
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- Omar El Euch & Jim Gatheral & Radov{s} Radoiv{c}i'c & Mathieu Rosenbaum, 2018. "The Zumbach effect under rough Heston," Papers 1809.02098, arXiv.org.
- Blanc, Pierre & Chicheportiche, Rémy & Bouchaud, Jean-Philippe, 2014. "The fine structure of volatility feedback II: Overnight and intra-day effects," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 402(C), pages 58-75.
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- Marcus Cordi & Damien Challet & Serge Kassibrakis, 2019. "The market nanostructure origin of asset price time reversal asymmetry," Papers 1901.00834, arXiv.org.
- Milan Bašta, 2014. "Simulating Bivariate Stationary Processes with Scale-Specific Characteristics," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2014(1), pages 3-26.
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- Marcus Cordi & Damien Challet & Serge Kassibrakis, 2021.
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Quantitative Finance, Taylor & Francis Journals, vol. 21(2), pages 295-304, February.
- Marcus Cordi & Damien Challet & Serge Kassibrakis, 2018. "The market nanostructure origin of asset price time reversal asymmetry," Post-Print hal-01966419, HAL.
- Marcus Cordi & Damien Challet & Serge Kassibrakis, 2019. "The market nanostructure origin of asset price time reversal asymmetry," Papers 1901.00834, arXiv.org, revised Apr 2020.
- Jean-Philippe Bouchaud, 2024. "The Self-Organized Criticality Paradigm in Economics & Finance," Papers 2407.10284, arXiv.org, revised Sep 2024.
- Charles Guy Njike Leunga & Donatien Hainaut, 2024. "Affine Heston model style with self-exciting jumps and long memory," Annals of Finance, Springer, vol. 20(1), pages 1-43, March.
- Gilles Zumbach, 2007. "Time reversal invariance in finance," Papers 0708.4022, arXiv.org.
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Keywords
Econophysics; Volatility cascade; Market components; ARCH model; Turbulence;All these keywords.
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