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Results for “financial conditions” · papers 4 · wiki 5
Academic Papers · 4arXiv q-fin live 0 · desk corpus 4
arXiv · arXiv · 2018
In this paper, we empirically study models for pricing Italian sovereign bonds under a reduced form framework, by assuming different dynamics for the short-rate process. We analyze classical Cox-Ingersoll-Ross and Vasicek multi-factor models, with a focus on optimization algorithms applied in the calibration exercise. The Kalman filter algorithm together with a maximum likelihood estimation method are considered to f…
Michele Leonardo Bianchi
arXiv · arXiv · 2012
Market liquidity plays a vital role in the field of market micro-structure, because it is the vigor of the financial market. This paper uses a variable called convexity to measure the potential liquidity provided by order-book. Based on the high-frequency data of each stock included in the SSE (Shanghai Stock Exchange) 50 Index for the year 2011, we report several statistical properties of convexity and analyze the a…
Kenan Qiao
arXiv · arXiv · 2016
Due to the lack of reliable market information, building financial term-structures may be associated with a significant degree of uncertainty. In this paper, we propose a new term-structure interpolation method that extends classical spline techniques by additionally allowing for quantification of uncertainty. The proposed method is based on a generalization of kriging models with linear equality constraints (market-…
Areski Cousin, Hassan Maatouk, Didier Rullière
arXiv · arXiv · 2017
Market Microstructure is the investigation of the process and protocols that govern the exchange of assets with the objective of reducing frictions that can impede the transfer. In financial markets, where there is an abundance of recorded information, this translates to the study of the dynamic relationships between observed variables, such as price, volume and spread, and hidden constituents, such as transaction co…
Ravi Kashyap
Option Blackboard · 0
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