247 citations · 487 across the 9 of their papers we have counts for
5 papers · 1 filter
Volatility: a hidden Markov process in financial time series
Zoltan Eisler, Josep Perello, Jaume Masoliver
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its po…
The continuous time random walk formalism in financial markets
J. Masoliver, M. Montero, J. Perello +1
We adapt continuous time random walk (CTRW) formalism to describe asset price evolution and discuss some of the problems that can be treated using this approach. We basically focus…
Downside Risk analysis applied to Hedge Funds universe
Josep Perello
Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate ri…
Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion
Josep Perello, Miquel Montero, Luigi Palatella +2
The electricity market is a very peculiar market due to the large variety of phenomena that can affect the spot price. However, this market still shows many typical features of oth…
Extreme times for volatility processes
Jaume Masoliver, Josep Perello
We present a detailed study on the mean first-passage time of volatility processes. We analyze the theoretical expressions based on the most common stochastic volatility models alo…