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Model of continuous random cascade processes in financial markets
Jun-ichi Maskawa, Koji Kuroda
This article present a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources tr…
Multiplicative random cascades with additional stochastic process in financial markets
Jun-ichi Maskawa, Koji Kuroda, Joshin Murai
Multiplicative random cascade model naturally reproduces the intermittency or multifractality, which is frequently shown among hierarchical complex systems such as turbulence and f…
Market-wide price co-movement around crashes in the Tokyo Stock Exchange
Jun-ichi Maskawa, Joshin Murai, Koji Kuroda
As described in this paper, we study market-wide price co-movements around crashes by analyzing a dataset of high-frequency stock returns of the constituent issues of Nikkei 225 In…
Collective behavior of stock prices as a precursor to market crash
Jun-ichi Maskawa
We study precursors to the global market crash that occurred on all main stock exchanges throughout the world in October 2008 about three weeks after the bankruptcy of Lehman Broth…