arXiv · arXiv q-fin · 2017
We calculate realized volatility of the Nikkei Stock Average (Nikkei225) Index on the Tokyo Stock Exchange and investigate the return dynamics. To avoid the bias on the realized volatility from the non-trading hours issue we calculate realized volatility separately in the two trading sessions, i.e. morning and afternoon, of the Tokyo Stock Exchange and find that the microstructure noise decreases the realized volatil…
Tetsuya Takaishi, Toshiaki Watanabe
arXiv · arXiv · 2026
Tick-level trade-and-quote data for the Tokyo Stock Exchange is distributed through the Nikkei NEEDS service as thousands of zipped CSV archives spanning four data types with era-dependent schemas and Japanese-language layouts. We present tse_tick, an open-source Python library that converts these raw archives into clean, typed Polars DataFrames and a Hive-partitioned Parquet store queryable through DuckDB. The libra…
Kazumi Li, Masataka Hayashi, Teruo Nakatsuma, Peter Romero
arXiv · arXiv q-fin · 2026
Leveraged ETFs (L-ETFs) are exchange-traded funds that achieve price movements several times greater than an index by holding index-linked futures such as Nikkei Stock Average Index futures. It is known that when the price of an L-ETF falls, the L-ETF uses the liquidity of futures to limit the decline through arbitrage trading. Conversely, when the price of a futures contract falls, the futures contract uses the liqu…
Ryuki Hayase, Takanobu Mizuta, Isao Yagi
arXiv · arXiv q-fin · 2019
Price impact of a trade is an important element in pre-trade and post-trade analyses. We introduce a framework to analyze the market price of liquidity risk, which allows us to derive an inhomogeneous Bernoulli ordinary differential equation. We obtain two closed form solutions, one of which reproduces the linear function of the order flow in Kyle (1985) for informed traders. However, when traders are not as asymmetr…
Masaaki Kijima, Christopher Ting
arXiv · arXiv q-fin · 2026
This study develops and evaluates a deep reinforcement learning framework for dynamic portfolio allocation across global equity markets. The Soft Actor-Critic algorithm is used to learn continuous portfolio weights within a Markov Decision Process, incorporating transaction costs, turnover penalties, and diversification constraints into the reward function. Five model configurations are compared, varying in reward fo…
Kamil Kashif, Robert Ślepaczuk
arXiv · arXiv q-fin · 2025
This study examines the impact of the coronavirus disease 2019 (COVID-19) pandemic on market efficiency by analyzing three time series -- price returns, absolute returns, and volatility increments -- in stock (Deutscher Aktienindex, Nikkei 225, Shanghai Stock Exchange (SSE), and Volatility Index) and cryptocurrency (Bitcoin and Ethereum) markets. The effect is found to vary by asset class and market. In the stock mar…
Tetsuya Takaishi
arXiv · arXiv q-fin · 2023
Correlation-diversified portfolios can be constructed by finding the maximum independent sets (MISs) in market graphs with edges corresponding to correlations between two stocks. The computational complexity to find the MIS increases exponentially as the size of the market graph increases, making the MIS selection in a large-scale market graph difficult. Here we construct a diversified portfolio by solving the MIS pr…
Ryo Hidaka, Yohei Hamakawa, Jun Nakayama, Kosuke Tatsumura
arXiv · arXiv q-fin · 2022
Grasping the historical volatility of stock market indices and accurately estimating are two of the major focuses of those involved in the financial securities industry and derivative instruments pricing. This paper presents the results of employing the intrinsic entropy model as a substitute for estimating the volatility of stock market indices. Diverging from the widely used volatility models that take into account…
Claudiu Vinte, Marcel Ausloos, Titus Felix Furtuna
arXiv · arXiv q-fin · 2020
A leveraged ETF is a fund aimed at achieving a rate of return several times greater than that of the underlying asset such as Nikkei 225 futures. Recently, it has been suggested that rebalancing trades of a leveraged ETF may destabilize the financial markets. An empirical study using an agent-based simulation indicated that a rebalancing trade strategy could affect the price formation of an underlying asset market. H…
Isao Yagi, Shunya Maruyama, Takanobu Mizuta
arXiv · arXiv q-fin · 2020
This study investigates the impacts of asymmetry on the modeling and forecasting of realized volatility in the Japanese futures and spot stock markets. We employ heterogeneous autoregressive (HAR) models allowing for three types of asymmetry: positive and negative realized semivariance (RSV), asymmetric jumps, and leverage effects. The estimation results show that leverage effects clearly influence the modeling of re…
Daiki Maki, Yasushi Ota
arXiv · arXiv q-fin · 2008
One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known traditional techniques in the literature to measure stock market volatility, a central point in this debate that constitutes the actual scope of this paper is to compare this common app…
Sonia R. Bentes, Rui Menezes, Diana A. Mendes
arXiv · arXiv q-fin · 2006
This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical results point to the evidence of the existence of integrated behaviour among several of those stock …
Andreia Dionisio, Rui Menezes, Diana A. Mendes
arXiv · arXiv q-fin · 2003
In a recent comment (Johansen A 2003 An alternative view, Quant. Finance 3: C6-C7, cond-mat/0302141), Anders Johansen has criticized our methodology and has questioned several of our results published in [Sornette D and Zhou W-X 2002 The US 2000-2002 market descent: how much longer and deeper? Quant. Finance 2: 468-81, cond-mat/0209065] and in our two consequent preprints [cond-mat/0212010, physics/0301023]. In the p…
D. Sornette, W. -X. Zhou
arXiv · arXiv · 2023
In this paper, we build on the analysis of Muni Toke and Yoshida (2020) and conduct several empirical studies using high-frequency financial data. Muni Toke and Yoshida (2020) showed the consistency and asymptotic behavior of the Cox-type model estimators for relative intensities of orders in the limit order book, and then by using high-frequency trading data for 36 stocks traded on the Paris Stock Exchange, they car…
Shunya Chomei