Download or read book Testing Mean Reversion in Stock Market Volatility written by Turan G. Bali and published by . This book was released on 2012 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a comprehensive study of continuous time GARCH modeling with the thin-tailed normal and the fat-tailed Student-t and generalized error distributions. The paper measures the degree of mean reversion in stock return volatility based on the relationship between discrete time GARCH and continuous time diffusion models. The convergence results based on the aforementioned distribution functions are shown to have similar implications for testing mean reversion in stochastic volatility. Alternative models are compared in terms of their ability to capture mean-reverting behavior of stock return volatility. The empirical evidence obtained from several stock market indices indicates that the conditional variance, log-variance, and standard deviation of stock market returns are pulled back to some long-run average level over time.

Download or read book Mean Reversion in Stock Market Volatility written by Michael Dueker and published by . This book was released on 1994 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Mean Reversion of Volatility Around Extreme Stock Returns written by Ling T. He and published by . This book was released on 2013 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines mean reversion processes in volatility structure of stock markets after extremely high or low stock returns. The stock market volatility is reflected in three aspects, overall volatility, volatility momentum, and volatility concentration, and they are measured by three basic statistical measures, variance/standard deviation, skewness, and kurtosis, respectively. The results of this study illustrate remarkable reversions in volatility momentum, concentration, and level between periods of pre and post-extremely high stock returns. Evidence of this study also supports some strong volatility reversions after extremely negative stock returns. The findings are helpful to investing professionals and financial policy makers to expand their understanding of different aspects of volatility structure and their change cycles. The knowledge may enhance effectiveness of portfolio managers in risk management after busts of stock price bubbles.

Download or read book Machine Trading written by Ernest P. Chan and published by John Wiley & Sons. This book was released on 2017-02-06 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dive into algo trading with step-by-step tutorials and expert insight Machine Trading is a practical guide to building your algorithmic trading business. Written by a recognized trader with major institution expertise, this book provides step-by-step instruction on quantitative trading and the latest technologies available even outside the Wall Street sphere. You'll discover the latest platforms that are becoming increasingly easy to use, gain access to new markets, and learn new quantitative strategies that are applicable to stocks, options, futures, currencies, and even bitcoins. The companion website provides downloadable software codes, and you'll learn to design your own proprietary tools using MATLAB. The author's experiences provide deep insight into both the business and human side of systematic trading and money management, and his evolution from proprietary trader to fund manager contains valuable lessons for investors at any level. Algorithmic trading is booming, and the theories, tools, technologies, and the markets themselves are evolving at a rapid pace. This book gets you up to speed, and walks you through the process of developing your own proprietary trading operation using the latest tools. Utilize the newer, easier algorithmic trading platforms Access markets previously unavailable to systematic traders Adopt new strategies for a variety of instruments Gain expert perspective into the human side of trading The strength of algorithmic trading is its versatility. It can be used in any strategy, including market-making, inter-market spreading, arbitrage, or pure speculation; decision-making and implementation can be augmented at any stage, or may operate completely automatically. Traders looking to step up their strategy need look no further than Machine Trading for clear instruction and expert solutions.

Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel

Download or read book Mean Reversion in Stock Prices written by James M. Poterba and published by . This book was released on 1987 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A New test for mean reversion in stock prices written by Gregory R. Duffee and published by . This book was released on 1991 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Speed of Mean Reversion written by Rizwan Manzoor and published by . This book was released on 2016 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility is measured as a risk and plays vital role in many financial decisions. The central part of this study is to capture the existence of the volatility in the regional financial markets (Karachi, Bombay, China, Korea and Hong Kong) have been included and the sample of Jan 1,2007 to Dec 31,2009 taken for the testing. The volatility and its stylized facts were under consideration by using ARCH and GARCH (1,1) that are very common to use to grab the volatility and they are also known as symmetric volatility model. The GARCH (1,1) has been applied and found that the financial time series of the regional markets has the volatility and it stylized facts, speed of mean reversion, fat tail and one half-life reverting to it mean satisfactorily.

Download or read book STATISTICAL TESTS ON MEAN REVE written by Chun-Mei May Wong and published by Open Dissertation Press. This book was released on 2017-01-27 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "The Statistical Tests on Mean Reversion Properties in Financial Markets" by Chun-mei, May, Wong, 王春美, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. DOI: 10.5353/th_b3121197 Subjects: Statistical hypothesis testing Stock price forecasting - Mathematical models Stocks - Prices - Mathematical models Stocks - Economic aspects - Mathematical models

Download or read book Optimal Mean Reversion Trading written by Tim Leung (Professor of industrial engineering) and published by World Scientific. This book was released on 2015-11-26 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price dynamics. It is self-contained and organized in its presentation, and provides rigorous mathematical analysis as well as computational methods for trading ETFs, options, futures on commodities or volatility indices, and credit risk derivatives. This book offers a unique financial engineering approach that combines novel analytical methodologies and applications to a wide array of real-world examples. It extracts the mathematical problems from various trading approaches and scenarios, but also addresses the practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs. The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature. This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments."--

Download or read book Mean Reversion in Stock Prices written by Myung-Jig Kim and published by . This book was released on 1988 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Volatility Clustering and Mean Reversion of Stock Returns in an Asset Pricing Model with Incomplete Learning written by Allan Timmermann and published by . This book was released on 1995 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Statistical Tests on Mean Reversion Properties in Financial Markets written by Chun-mei Wong (May) and published by . This book was released on 1994 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nonlinear Financial Econometrics Forecasting Models Computational and Bayesian Models written by G. Gregoriou and published by Springer. This book was released on 2010-12-21 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinear models for hedging purposes, and proposes new computational techniques to estimate financial processes.

Download or read book Secular Mean Reversion and Long Run Predictability of the Stock Market written by Valeriy Zakamulin and published by . This book was released on 2015 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical financial literature documents the evidence of mean reversion in stock prices and the absence of out-of-sample return predictability over periods shorter than 10 years. The goal of this paper is to test the random walk hypothesis in stock prices and return predictability over periods longer than 10 years. Specifically, using 141 years of data, this paper begins by performing formal tests of the random walk hypothesis in the prices of the real S&P Composite Index over increasing time horizons up to 40 years. Even though our results cannot support the conventional wisdom which says that the stock market is safer for long-term investors, our findings speak in favor of the mean reversion hypothesis. In particular, we find statistically significant in-sample evidence that past 15-17 year returns are able to predict future 15-17 year returns. This finding is robust to the choice of data source, deflator, and test statistic. The paper continues by investigating the out-of-sample performance of long-horizon return forecast based on the mean-reverting model. These latter tests demonstrate that the forecast accuracy provided by the mean-reverting model is statistically significantly better than the forecast accuracy provided by the naive historical-mean model. Moreover, we show that the predictive ability of the mean-reverting model is economically significant and translates into substantial performance gains.

Download or read book Volatility Trading website written by Euan Sinclair and published by John Wiley & Sons. This book was released on 2008-06-23 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility Trading, Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in your everyday option trading endeavors. With an accessible, straightforward approach. He guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. In addition, Sinclair explains the often-overlooked psychological aspects of trading, revealing both how behavioral psychology can create market conditions traders can take advantage of-and how it can lead them astray. Psychological biases, he asserts, are probably the drivers behind most sources of edge available to a volatility trader. Your goal, Sinclair explains, must be clearly defined and easily expressed-if you cannot explain it in one sentence, you probably aren't completely clear about what it is. The same applies to your statistical edge. If you do not know exactly what your edge is, you shouldn't trade. He shows how, in addition to the numerical evaluation of a potential trade, you should be able to identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists. This means it is also necessary to be on top of recent news stories, sector trends, and behavioral psychology. Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the overall context of your goals. As the author concludes, while we also need to pay attention to seemingly mundane things like having good execution software, a comfortable office, and getting enough sleep, it is knowledge that is the ultimate source of edge. So, all else being equal, the trader with the greater knowledge will be the more successful. This book, and its companion CD-ROM, will provide that knowledge. The CD-ROM includes spreadsheets designed to help you forecast volatility and evaluate trades together with simulation engines.

Download or read book An Analysis of Changes in Aggregate Stock Market Volatility written by Frank K. Reilly and published by . This book was released on 1979 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: General price studies on the level of volatility for aggregate stock market have derived conflicting results. Using daily stock price changes for the period 1926-1975, the paper examines the characteristics of the distribution of daily stock price changes. Subsequently we examined changes in several measures of stock price volatility. The results indicated significant changes over time and especially in 1973-1975.