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q-fin.ST2020
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…
q-fin.ST2018
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…
q-fin.ST2013
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…