The fine-structure of volatility feedback. I: Multi-scale self-reflexivity

DOI10.1016/j.physa.2014.05.007zbMath1402.91942arXiv1206.2153OpenAlexW2081300120MaRDI QIDQ1782966

Rémy Chicheportiche, Jean-Philippe Bouchaud

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.2153

zbMATH Keywords

GARCH modelsstock marketstime reversal invarianceendogenous feedbackvolatility dynamics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

Related Items (10)

First-passage time statistics on surfaces of general shape: surface PDE solvers using generalized moving least squares (GMLS) ⋮ Quadratic Hawkes processes for financial prices ⋮ Volatility is (mostly) path-dependent ⋮ Multivariate quadratic Hawkes processes—part I: theoretical analysis ⋮ The Zumbach effect under rough Heston ⋮ Crises and collective socio-economic phenomena: simple models and challenges ⋮ The fine structure of volatility feedback. II: Overnight and intra-day effects ⋮ Combination of transition probability distribution and stable Lorentz distribution in stock markets ⋮ The market nanostructure origin of asset price time reversal asymmetry ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew

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