155 search results - page 2 / 31 » Modeling volatility in prediction markets |
ANOR
2010
13 years 5 months ago
2010
Abstract The problem of portfolio risk estimation in volatile markets requires employing fat-tailed models for financial instrument returns combined with copula functions to captur...
ISNN
2007
Springer
13 years 11 months ago
2007
Springer
The paper presents a pattern-oriented agent-based model to simulate the dynamics of a stock market. The model generates satisfactory market macro-level trend and volatility while t...
ICML
2010
IEEE
13 years 6 months ago
2010
IEEE
Predicting the "Value at Risk" of a portfolio of stocks is of great significance in quantitative finance. We introduce a new class models, "dynamical products of ex...
CORR
2007
Springer
13 years 5 months ago
2007
Springer
In this note, we show that simple models that explicitly accounts for the market participants’ fear that the stock prices will plunge, is capable of explaining the implied volat...
ADC
2010
Springer
13 years 9 days ago
2010
Springer
Due to the fast delivery of news articles by news providers on the Internet and/or via news datafeeds, it becomes an important research issue of predicting the risk of stocks by u...