The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability

DOI10.1111/1467-9965.t01-1-00003zbMath1049.91056OpenAlexW2000732021MaRDI QIDQ4409035

Paul Malliavin, Maria Elvira Mancino, Anton Thalmaier, Roberto Renò, Emilio Basrucci

Publication date: 2003

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

Full work available at URL: http://orbilu.uni.lu/handle/10993/13836

zbMATH Keywords

moving frameliquiditymarket stabilityGreeks

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic calculus of variations and the Malliavin calculus (60H07) Statistical methods; economic indices and measures (91B82)

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Cites Work

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• On measuring volatility of diffusion processes with high frequency data