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- Fractal Market Hypothesis (2)
- Risk assessment of economy (2)
- Risk assessment statistics and numerical data (2)
- ABX index (1)
- Asset management (1)
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- Contagion (1)
- Dow Jones and ABX index. (1)
- Energy (1)
- FTSE (1)
- Financial signal analysis (1)
- Foreign exchange markets (1)
- Fractional diffusion (1)
- GARCH modeling (1)
- Hedging (1)
- Interdependence (1)
- Non-stationary signal processing (1)
- Returns (1)
- Risk Management (1)
- Volatility (1)
- Volatility Spillovers. (1)
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Articles 1 - 5 of 5
Full-Text Articles in Business
Application Of The Fractional Diffusion Equation For Predicting Market Behaviour, Jonathan Blackledge
Application Of The Fractional Diffusion Equation For Predicting Market Behaviour, Jonathan Blackledge
Articles
Most Financial modelling system rely on an underlying hypothesis known as the Eficient Market Hypothesi (EMH) including the famous BlackScholes formula for placing an option. However, the EMH has a fundamental flaw: it is based on the assumption that economic processes are normally distributed and it has long been known that this is not the case. This fundamental assumption leads to a number of shortcomings associated with using the EMH to analyse financial data which includes failure to predict the future volatility of a market share value. This paper introduces a new financial risk assessment model based on Levy statistics …
The Global Financial Crisis: World Market Or Regional Contagion Effects?, Lucia Morales, Bernadette Andreosso-O'Callaghan
The Global Financial Crisis: World Market Or Regional Contagion Effects?, Lucia Morales, Bernadette Andreosso-O'Callaghan
Conference papers
In the last two decades, the world economy has been challenged by different economic and financial crisis. These events have captured researchers’ attention, and in particular the analysis of contagion effects derived from stock market shocks have been a focal point of interesting discussions. However, there is little consensus on how contagion should be defined and indentified. Consequently, this paper contributes to the already settled debate on the area proposing the analysis of contagion effects in a worldwide framework, where three different econometric models to test for contagion are being used. The main results are in line with most of …
Economic Risk Assessment Using The Fractal Market Hypothesis, Jonathan Blackledge, Marek Rebow
Economic Risk Assessment Using The Fractal Market Hypothesis, Jonathan Blackledge, Marek Rebow
Conference papers
This paper considers the Fractal Market Hypothesi (FMH) for assessing the risk(s) in developing a financial portfolio based on data that is available through the Internet from an increasing number of sources. Most financial risk management systems are still based on the Efficient Market Hypothesis which often fails due to the inaccuracies of the statistical models that underpin the hypothesis, in particular, that financial data are based on stationary Gaussian processes. The FMH considered in this paper assumes that financial data are non-stationary and statistically self-affine so that a risk analysis can, in principal, be applied at any time scale …
Time Varying Risk Aversion: An Application To Energy Hedging, Jim Hanly, John Cotter
Time Varying Risk Aversion: An Application To Energy Hedging, Jim Hanly, John Cotter
Articles
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive explicit risk aversion based optimal hedge strategies for both short and long hedgers. Out-of-sample results are also presented based on a unique approach that allows us to forecast risk aversion, thereby estimating hedge strategies that address the potential future needs of …
Systemic Risk Assessment Using A Non-Stationary Fractional Dynamic Stochastic Model For The Analysis Of Economic Signals, Jonathan Blackledge
Systemic Risk Assessment Using A Non-Stationary Fractional Dynamic Stochastic Model For The Analysis Of Economic Signals, Jonathan Blackledge
Articles
This paper considers the Fractal Market Hypothesis (FMH) for assessing the risk(s) in developing a financial portfolio based on data that is available through the Internet from an increasing number of sources. Most financial risk management systems are still based on the Efficient Market Hypothesis which often fails due to the inaccuracies of the statistical models that underpin the hypothesis, in particular, that financial data are based on stationary Gaussian processes. The FMH considered in this paper assumes that financial data are non-stationary and statistically self-affine so that a risk analysis can, in principal, be applied at any time scale …