251 citations · 582 across the 19 of their papers we have counts for
3 papers · 1 filter
A GMM approach to estimate the roughness of stochastic volatility
Anine E. Bolko, Kim Christensen, Mikko S. Pakkanen +1
We develop a GMM approach for estimation of log-normal stochastic volatility models driven by a fractional Brownian motion with unrestricted Hurst exponent. We show that a paramete…
The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets
Alberto Ciacci, Takumi Sueshige, Hideki Takayasu +2
Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme…
Identifying time dependence in network growth
Max Falkenberg, Jong-Hyeok Lee, Shun-ichi Amano +5
Identifying power-law scaling in real networks - indicative of preferential attachment - has proved controversial. Critics argue that measuring the temporal evolution of a network…