arXiv · arXiv · 2026
Generating synthetic financial time series that preserve the statistical properties of real market data is essential for stress testing, risk model validation, and scenario design. Existing approaches struggle to simultaneously reproduce heavy-tailed distributions, negligible linear autocorrelation, and persistent volatility clustering. We developed a hybrid hidden Markov framework that discretized excess growth rate…
Abdulrahman Alswaidan, Jeffrey D. Varner
arXiv · arXiv · 2016
Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing framework resistant to such violations, which is consistent with nearly integrated regressors and applicable to multi-predictor settings, when the data may only approximately follow a predictive regression model. The Monte Carl…
Lorenzo Camponovo, Olivier Scaillet, Fabio Trojani
OpenAlex · The Journal of Derivatives · 2003 · cites 153
The accumulation of trading experience and empirical evidence since the original Black-Scholes (BS) model was developed, have made it increasingly evident that volatility is not a constant parameter, as BS assumed, but stochastic. With a second random factor associated with volatility affecting security returns, it would not be surprising if investors cared about bearing risk related to that factor. And there is cons…
Gurdip Bakshi, Nikunj Kapadia
OpenAlex · Journal of Financial and Quantitative Analysis · 2005 · cites 59
Abstract This study employs a non-parametric approach to investigate the volatility risk premium in the over-the-counter currency option market. Using a large database of daily delta-neutral straddle quotes in four major currencies—the British pound, the euro, the Japanese yen, and the Swiss franc—we find that volatility risk is priced in all four currencies across different option maturities. We find that the volati…
Buen Sin Low, Shaojun Zhang
arXiv · arXiv · 2026
Artificial transaction generation remains an important source of potential market manipulation on cryptocurrency exchanges, as it may distort reported liquidity and reduce market transparency. This study proposes a diagnostic framework for detecting unusual trading patterns based on complexity and statistical-structure measures derived from high-frequency trade-level data. The analysis considers log-returns, trading …
Jakub Zwydak, Marcin Wątorek, Jarosław Kwapień, Stanisław Drożdż
arXiv · arXiv · 2026
We present a large-scale experimental study of quantum-computing-based molecular simulation carried out on IQM's Sirius 24-qubit superconducting processor, utilizing up to 16 operational qubits. The work employs Sample-based Quantum Diagonalization (SQD) together with the Local Unitary Cluster Jastrow (LUCJ) ansatz to estimate ground-state energies for a set of benchmark molecules, including H$_2$, LiH, BeH$_2$, H$_2…
Anurag K. S. V., Ashish Kumar Patra, Manas Mukherjee, Alok Shukla, Sai Shankar P.