arXiv · arXiv q-fin · 2026
This paper considers European multi-asset option pricing under Lévy and affine characteristic-function models. The main obstruction is the curse of dimensionality: direct multidimensional COS pricing forms tensor-product coefficient arrays whose size grows exponentially with the number of assets. We study and extend COS-TT-CHF, a low-rank construction that uses TT-cross to compress sampled characteristic-function ten…
Lucas Arenstein, Michael Kastoryano
arXiv · arXiv q-fin · 2001
On Jan. 1, 1999 the European Union introduced a common currency Euro ($EUR$), to become the legal currency in all eleven countries which form the $EUR$. In order to test the $EUR$ behavior and understand various features, the $EUR$ exchange rate is artificially extrapolated back to 1993 by a linear superposition of the exchange rates of the 11 currencies composing $EUR$ with respect to several currencies not belongin…
M. Ausloos, K. Ivanova
arXiv · arXiv q-fin · 2001
The Euro (EUR) has been a currency introduced by the European Community on Jan. 01, 1999. This implies eleven countries of the European Union which have been found to meet the five requirements of the Maastricht convergence criteria. In order to test EUR behavior and understand various features, we have extrapolated the EUR backwards and therefore have obtained a {\it false euro} (FEUR) dating back to 1993. We have d…
K. Ivanova, M. Ausloos
arXiv · arXiv q-fin · 2018
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their correlation and cross correlation. When applied to daily and hourly EUR/USD and GBP/USD exchange rates, we find evidence of dependence among the largest draws (i.e. 5% and 95% qua…
Stephan Schwill
arXiv · arXiv q-fin · 2026
Extracting risk-neutral dependence from option prices has remained an open problem since Ross (1976). We propose a projection estimator that uses portfolios of observed options to approximate payoffs depending on multiple assets. The method delivers estimates of risk-neutral dependence in incomplete markets, improves univariate estimates, and yields a finite-sample error bound. Applying the method to two unexpected S…
Tjeerd De Vries
arXiv · arXiv q-fin · 2025
This study introduces the Quantitative Geometric Market Structuralist (QGMS) framework a hybrid analytical methodology integrating geometric pattern recognition with quantitative mathematical modeling to identify terminal zones of large-scale market movements. Unlike conventional econometric or signal-based models, the QGMS framework conceptualizes market dynamics as evolving geometric structures governed by self-org…
Amir Kavoosi
arXiv · arXiv q-fin · 2024
The European carbon market plays a pivotal role in the European Union's ambitious target of achieving carbon neutrality by 2050. Understanding the intricacies of factors influencing European Union Emission Trading System (EU ETS) market prices is paramount for effective policy making and strategy implementation. We propose the use of the Information Imbalance, a recently introduced non-parametric measure quantifying …
Cristiano Salvagnin, Aldo Glielmo, Maria Elena De Giuli, Antonietta Mira
arXiv · arXiv q-fin · 2022
The class of Affine (Jump) Diffusion (AD) has, due to its closed form characteristic function (ChF), gained tremendous popularity among practitioners and researchers. However, there is clear evidence that a linearity constraint is insufficient for precise and consistent option pricing. Any non-affine model must pass the strict requirement of quick calibration -- which is often challenging. We focus here on Randomized…
Lech A. Grzelak
arXiv · arXiv q-fin · 2010
We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming two triangles: EUR-GBP-USD and GBP-CHF-JPY. It is shown that the exchange rate return fluctuations for all the pairs considered are well described by the nonextensive statistics in terms of q-Gaussians. There exist some small quantitative va…
Stanislaw Drozdz, Jaroslaw Kwapien, Pawel Oswiecimka, Rafal Rak
arXiv · arXiv q-fin · 2006
The aim of this paper is to determine the Value at Risk (VaR) of the portfolio consisting of long positions in foreign currencies on an emerging market. Basing on empirical data we restrict ourselves to the case when the tail parts of distributions of logarithmic returns of these assets follow the power laws and the lower tail of associated copula C follows the power law of degree 1. We will illustrate the practical …
Piotr Jaworski
arXiv · arXiv q-fin · 2006
High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between two normalized spectrograms of the tick frequency and the generalized Jensen-Shannon divergence among them. The temporal structure variations of the similarity between currency pai…
Aki-Hiro Sato
arXiv · arXiv q-fin · 2005
The influence of the past price behaviour on the realized volatility is investigated in the present article. The results show that trending (drifting) prices lead to increased (decreased) realized volatility. This ``volatility induced by trend'' constitutes a new stylized fact. The past price behaviour is measured by a product of 2 non overlapping returns, of the form r L[r] where L is the lag operator. The effect is…
Gilles Zumbach
arXiv · arXiv q-fin · 1999
Starting from the characterization of the past time evolution of market prices in terms of two fundamental indicators, price velocity and price acceleration, we construct a general classification of the possible patterns characterizing the deviation or defects from the random walk market state and its time-translational invariant properties. The classification relies on two dimensionless parameters, the Froude number…
J. V. Andersen, S. Gluzman, D. Sornette