arXiv · arXiv q-fin · 2015
There are some statistical anomalies in the Chinese stock market, i.e., positive return skewness, anti-leverage effect (positive returns induce higher volatility than negative returns); and reverse volatility asymmetry (contemporaneous return-volatility correlation is positive). In this paper, we first confirm the existence of these anomalies using daily firm-level stock return data on the raw returns, excess returns…
Liang Wu, Jingyi Luo, Yingkai Tang, Gregory Bardes
arXiv · arXiv q-fin · 2011
The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive positive and negative daily price changes, and test the dependence of the price impact asymmetry on the market condition. For most of the stocks institutional sales have a larger price i…
Fei Ren, Li-Xin Zhong
arXiv · arXiv · 2024
The purpose of the research was to build an index of informational asymmetry with market and firm proxies that reflect the analysts' perception of the level of informational asymmetry of companies. The proposed method consists of the construction of an algorithm based on the Elo rating and captures the perception of the analyst that choose, between two firms, the one they consider to have better information. After we…
Roberto Frota Decourt, Heitor Almeida, Philippe Protin, Matheus R. C. Gonzalez
arXiv · arXiv · 2024
Shareholders' expectations of stock returns and fluctuations are constantly changing due to restrictions in financial status and undesirable capital structure, which constrain managers to limit the changes in price trends in order to cover the risk instigated and infused by the unfavorable situation. The present research examines the moderating impact of information asymmetry on the relationship between capital struc…
Masoud Taherinia, Mehrdad Matin, Jamal Valipour, Kavian Abdolahi, Peyman Shouryabi
arXiv · arXiv · 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 · 2015
We point out a stunning time asymmetry in the short time cross correlations between intra-day and overnight volatilities (absolute values of log-returns of stock prices). While overnight volatility is significantly (and positively) correlated with the intra-day volatility during the \textit{following} day (allowing thus non-trivial predictions), it is much less correlated with the intra-day volatility during the \tex…
Rubina Zadourian, Peter Grassberger
arXiv · arXiv q-fin · 2023
In decentralized finance ("DeFi"), automated market makers (AMMs) enable traders to programmatically exchange one asset for another. Such trades are enabled by the assets deposited by liquidity providers (LPs). The goal of this paper is to characterize and interpret the optimal (i.e., profit-maximizing) strategy of a monopolist liquidity provider, as a function of that LP's beliefs about asset prices and trader behav…
Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden
arXiv · arXiv q-fin · 2025
This study examines how institutional differences and external crises shape volatility dynamics in emerging Asian stock markets. Using daily stock index returns for Indonesia, Malaysia, and the Philippines from 2010 to 2024, we estimate EGARCH(1,1) and TGARCH(1,1) models in a by-window design. The sample is split into the 2013 Taper Tantrum, the 2020-2021 COVID-19 period, the 2022-2023 rate-hike cycle, and tranquil p…
Junlin Yang
arXiv · arXiv q-fin · 2026
This study investigates whether regime-dependent volatility forecasting and machine-learning-based return prediction can be jointly integrated to improve both statistical forecasting performance and economic strategy outcomes in equity markets. Using high-frequency CSI 300 Index data from 2005 to 2023, a sequential twostage framework is developed. In the first stage, realized volatility is modeled using regime-augmen…
Xinyue Fang, Robert Ślepaczuk
arXiv · arXiv q-fin · 2016
We consider the problem of concurrent portfolio losses in two non-overlapping credit portfolios. In order to explore the full statistical dependence structure of such portfolio losses, we estimate their empirical pairwise copulas. Instead of a Gaussian dependence, we typically find a strong asymmetry in the copulas. Concurrent large portfolio losses are much more likely than small ones. Studying the dependences of th…
Joachim Sicking, Thomas Guhr, Rudi Schäfer
arXiv · arXiv q-fin · 2016
We present an agent based model of a single asset financial market that is capable of replicating several non-trivial statistical properties observed in real financial markets, generically referred to as stylized facts. While previous models reported in the literature are also capable of replicating some of these statistical properties, in general, they tend to oversimplify either the trading mechanisms or the behavi…
Roberto Mota Navarro, Hernán Larralde Ridaura
arXiv · arXiv · 2026
Classical market-making strategies based on stochastic control, such as the Avellaneda-Stoikov and the Guéant-Lehalle-Fernandez-Tapia (GLFT) extension, provide closed-form quoting rules, but rest on assumptions that break down at realistic microstructure timescales. One of them is that order flow is stationary, while empirical evidence points to the existence of regimes, possibly associated with algorithmic execution…
Felipe Moret, Fabrizio Lillo
arXiv · arXiv · 2025
In this work, we introduce PEARL (Private Equity Accessibility Reimagined with Liquidity), an AI-powered framework designed to replicate and decode private equity funds using liquid, cost-effective assets. Relying on previous research methods such as Erik Stafford's single stock selection (Stafford) and Thomson Reuters - Refinitiv's sector approach (TR), our approach incorporates an additional asymmetry to capture th…
E. Benhamou, JJ. Ohana, B. Guez, E. Setrouk, T. Jacquot
arXiv · arXiv · 2023
This paper aims to enhance the understanding of liquidity provider (LP) returns in automated market makers (AMMs). LPs face market risk as well as adverse selection due to risky asset holdings in the pool that they provide liquidity to and the informational asymmetry between informed traders (arbitrageurs) and AMMs. Loss-versus-rebalancing (LVR) quantifies the adverse selection cost (Milionis et al., 2022a), and is a…
Jason Milionis, Xin Wan, Austin Adams
arXiv · arXiv · 2019
The electronic platform has been increasingly popular for executing large corporate bond orders by asset managers, who in turn have to assess the quality of their executions via Transaction Cost Analysis (TCA). One of the challenges in TCA is to build a realistic benchmark for the expected transaction cost and to characterize the price impact of each individual trade with given bond characteristics and market conditi…
Xin Guo, Charles-Albert Lehalle, Renyuan Xu
arXiv · arXiv · 2016
We show that typical behaviors of market participants at the high frequency scale generate leverage effect and rough volatility. To do so, we build a simple microscopic model for the price of an asset based on Hawkes processes. We encode in this model some of the main features of market microstructure in the context of high frequency trading: high degree of endogeneity of market, no-arbitrage property, buying/selling…
El Euch Omar, Fukasawa Masaaki, Rosenbaum Mathieu
arXiv · arXiv · 2014
We revisit the problem of pricing options with historical volatility estimators. We do this in the context of a generalized GARCH model with multiple time scales and asymmetry. It is argued that the reason for the observed volatility risk premium is tail risk aversion. We parametrize such risk aversion in terms of three coefficients: convexity, skew and kurtosis risk premium. We propose that option prices under the r…
Samuel E. Vazquez
arXiv · arXiv · 2011
We suggest an empirical model of investment strategy returns which elucidates the importance of non-Gaussian features, such as time-varying volatility, asymmetry and fat tails, in explaining the level of expected returns. Estimating the model on the (former) Lehman Brothers Hedge Fund Index data, we demonstrate that the volatility compensation is a significant component of the expected returns for most strategy style…
Arthur M. Berd