Time reversal invariance in finance

DOI10.1080/14697680802616712zbMath1278.91195arXiv0708.4022OpenAlexW3125621989MaRDI QIDQ3645195

Gilles Zumbach

Publication date: 16 November 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.4022

zbMATH Keywords

stochastic volatility processesARCH processestime reversal symmetry

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)

Related Items (10)

Classifying of welding time series based on multi-scale time irreversibility analysis and extreme learning machine ⋮ 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 ⋮ The fine-structure of volatility feedback. I: Multi-scale self-reflexivity ⋮ Testing the causality of Hawkes processes with time reversal ⋮ The market nanostructure origin of asset price time reversal asymmetry ⋮ Characterizing heteroskedasticity ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Time reversibility tests of volume-volatility dynamics for stock returns
• Testing time reversibility without moment restrictions
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Heterogeneous volatility cascade in financial markets

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