Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Drift Burst Hypothesis PDF full book. Access full book title The Drift Burst Hypothesis by Kim Christensen. Download full books in PDF and EPUB format.
Author: Kim Christensen Publisher: ISBN: Category : Languages : en Pages : 58
Book Description
The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent US equity and treasury flash crashes can be viewed as two high profile manifestations of such dynamics, but we argue that drift bursts of varying magnitude are an expected and regular occurrence in financial markets that can arise through established mechanisms of liquidity provision. We show how to build drift bursts into the continuous-time Itô semimartingale model, discuss the conditions required for the process to remain arbitrage-free, and propose a nonparametric test statistic that identifies drift bursts from noisy high-frequency data. We apply the test to demonstrate that drift bursts are a stylized fact of the price dynamics across equities, fixed income, currencies and commodities. Drift bursts occur once a week on average, and the majority of them are accompanied by subsequent price reversion and can thus be regarded as "flash crashes." The reversal is found to be stronger for negative drift bursts with large trading volume, which is consistent with endogenous demand for immediacy during market crashes.
Author: Kim Christensen Publisher: ISBN: Category : Languages : en Pages : 58
Book Description
The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent US equity and treasury flash crashes can be viewed as two high profile manifestations of such dynamics, but we argue that drift bursts of varying magnitude are an expected and regular occurrence in financial markets that can arise through established mechanisms of liquidity provision. We show how to build drift bursts into the continuous-time Itô semimartingale model, discuss the conditions required for the process to remain arbitrage-free, and propose a nonparametric test statistic that identifies drift bursts from noisy high-frequency data. We apply the test to demonstrate that drift bursts are a stylized fact of the price dynamics across equities, fixed income, currencies and commodities. Drift bursts occur once a week on average, and the majority of them are accompanied by subsequent price reversion and can thus be regarded as "flash crashes." The reversal is found to be stronger for negative drift bursts with large trading volume, which is consistent with endogenous demand for immediacy during market crashes.
Author: Nicola Salvati Publisher: Springer Nature ISBN: 3031166094 Category : Mathematics Languages : en Pages : 548
Book Description
This book includes a wide selection of papers presented at the 50th Scientific Meeting of the Italian Statistical Society (SIS2021), held virtually on 21-25 June 2021. It covers a wide variety of subjects ranging from methodological and theoretical contributions to applied works and case studies, giving an excellent overview of the interests of the Italian statisticians and their international collaborations. Intended for researchers interested in theoretical and empirical issues, this volume provides interesting starting points for further research.
Author: Gennady P. Chernov Publisher: Springer Science & Business Media ISBN: 364220015X Category : Science Languages : en Pages : 298
Book Description
The study of the fine structure of solar radio emissions is key to understanding plasma processes in the solar corona. It remains a reliable means for both diagnosing the corona and verifying the results of laboratory plasma experiments on wave-wave and wave-particle interactions. This monograph provides a comprehensive review of the fine structure of solar radio bursts. Based on the diversity of experimental data resulting from the progress made in observational techniques, the validity of various theoretical models is reexamined. The book serves as an up-to-date reference work for all researchers in this field.
Author: Arnaud Doucet Publisher: Springer Science & Business Media ISBN: 1475734379 Category : Mathematics Languages : en Pages : 590
Book Description
Monte Carlo methods are revolutionizing the on-line analysis of data in many fileds. They have made it possible to solve numerically many complex, non-standard problems that were previously intractable. This book presents the first comprehensive treatment of these techniques.
Author: Iris H.-Y. Chiu Publisher: Edward Elgar Publishing ISBN: 1800379307 Category : Law Languages : en Pages : 449
Book Description
This Research Handbook is a one-stop resource on global capital markets and the laws that regulate them. Featuring contributions from leading global experts, the Research Handbook delves into a range of issues including investment products such as equity finance; sustainable finance; fintech; impact investing; and private equity. It also provides analysis on institutional and procedural issues such as large and small companies' capital formation, the roles of institutional shareholders and information providers, and the practices and regulation of financial trading markets.
Author: A. Krüger Publisher: Springer Science & Business Media ISBN: 9400994028 Category : Science Languages : en Pages : 346
Book Description
1. 1. Short History of Solar Radio Astronomy Since its birth in the forties of our century, solar radio astronomy has grown into an extensive scientific branch comprising a number of quite different topics covering technical sciences, astrophysics, plasma physics, solar-terrestrial physics, and other disciplines. Historically, the story of radio astronomy goes back to the times of James Clerk Maxwell, whose well known phenomenological electromagnetic field equations have become the basis of present-time radio physics. As a direct consequence of these equations, Maxwell was able to prognosticate the existence of radio waves which fifteen years later were experimentally detected by the famous work of Heinrich Hertz (1887/88). However, all attempts to detect radio waves from cosmic objects failed until 1932, which was mainly due to the early stage of development of receiving techniques and the as yet missing knowledge of the existence of a screening ionosphere (which was detected in 1925). Therefore, famous inventors like Thomas Edison and A. E. Kennelly, as well as Sir Oliver Lodge, were unsuccessful in receiving any radio emission from the Sun or other extraterrestrial sources. Another hindering point was that nobody could a priori expect that solar radio emission should have something to do with solar activity so that unfortunately by chance some experiments were carried out just at periods of low solar activity. This was also why Karl Guthe Jansky at the birth of radio astronomy detected galactic radio waves but no emission from the Sun.
Author: Kim Christensen
Author: Kim Christensen
Author: 
Author: Nicola Salvati
Author: Gennady P. Chernov
Author: Kenneth E. Eis
Author: Arnaud Doucet
Author: 
Author: Iris H.-Y. Chiu
Author: A. Krüger
Author: