Heterogeneous volatility cascade in financial markets

DOI10.1016/S0378-4371(01)00249-7zbMath0971.91022arXivcond-mat/0105162MaRDI QIDQ5942417

P. Lynch, Gilles Zumbach

Publication date: 29 August 2001

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0105162

zbMATH Keywords

ARCH-type modelcharacteristic memoryresponse function

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (16)

Quadratic Hawkes processes for financial prices ⋮ Long-memory in high-frequency exchange rate volatility under temporal aggregation ⋮ BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE ⋮ The EWMA Heston model ⋮ GANs training: A game and stochastic control approach ⋮ Flexible HAR model for realized volatility ⋮ The Zumbach effect under rough Heston ⋮ Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models ⋮ The skewed multifractal random walk with applications to option smiles ⋮ Market heterogeneities and the causal structure of volatility ⋮ Volatility processes and volatility forecast with long memory ⋮ Volatility conditional on price trends ⋮ The fine structure of volatility feedback. II: Overnight and intra-day effects ⋮ Time reversal invariance in finance ⋮ The market nanostructure origin of asset price time reversal asymmetry ⋮ Characterizing heteroskedasticity

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• OPERATORS ON INHOMOGENEOUS TIME SERIES

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