cicyt UNIZAR

Computational Finance

New submissions

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New submissions for Tue, 20 Mar 18

[1]  arXiv:1803.06653 [pdf]
Title: Modeling stock markets through the reconstruction of market processes
Comments: 49 pages, dissertation
Subjects: Statistical Finance (q-fin.ST); Computational Finance (q-fin.CP)

There are two possible ways of interpreting the seemingly stochastic nature of financial markets: the Efficient Market Hypothesis (EMH) and a set of stylized facts that drive the behavior of the markets. We show evidence for some of the stylized facts such as memory-like phenomena in price volatility in the short term, a power-law behavior and non-linear dependencies on the returns.
Given this, we construct a model of the market using Markov chains. Then, we develop an algorithm that can be generalized for any N-symbol alphabet and K-length Markov chain. Using this tool, we are able to show that it's, at least, always better than a completely random model such as a Random Walk. The code is written in MATLAB and maintained in GitHub.

Replacements for Tue, 20 Mar 18

[2]  arXiv:1708.02563 (replaced) [pdf, other]
Title: Turbocharging Monte Carlo pricing for the rough Bergomi model
Comments: 16 pages, 10 figures, v3: minor amendments and reformatted
Subjects: Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR)
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