Search results for "volatility"
showing 10 items of 245 documents
Abnormal Stock Market Returns Around Peaks in VIX: The Evidence of Investor Overreaction?
2016
Even though the VIX index was intended to be a measure of future volatility of the stock market, researchers argue that in reality VIX measures the investor sentiment. Anecdotal evidence suggests that peaks in VIX coincide with stock market bottoms followed by rallies, yet so far there have been no scientific evidence confirming this casual observation. In this paper we perform an event study of abnormal stock market returns around peaks in VIX and discuss our findings within the framework of behavioral finance theory. First of all, we detect peaks in VIX using formal turning-point identification procedures and provide detailed descriptive statistics of periods of rising and falling VIX. Th…
Renewable Energy Sources in the Baltic States and New Business Approach of the Sector
2021
Renewable energy sources (RES) are efficient in meeting the demand for clean and affordable energy. The need for RES is undeniable and has many advantages but there are also some challenges that need to be taken into consideration and adapted to the energy system. One of the challenges is RES volatility and its impact on electricity prices and power system operation. Europe is trending to power system decentralisation through the involvement of local authorities, active consumers and citizens in the system operation. This article provides main information about the energy sector of Latvia and RES in the Baltic countries. It proposes a methodology for the complex analysis of correlation and …
Hypervisor memory acquisition for ARM
2021
Abstract Cyber forensics use memory acquisition in advanced forensics and malware analysis. We propose a hypervisor based memory acquisition tool. Our implementation extends the volatility memory forensics framework by reducing the processor's consumption, solves the in-coherency problem in the memory snapshots and mitigates the pressure of the acquisition on the network and the disk. We provide benchmarks and evaluation.
A Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing
2006
Our goal is to identify the volatility function in Dupire's equation from given option prices. Following an optimal control approach in a Lagrangian framework, we propose a globalized sequential quadratic programming (SQP) algorithm with a modified Hessian - to ensure that every SQP step is a descent direction - and implement a line search strategy. In each level of the SQP method a linear-quadratic optimal control problem with box constraints is solved by a primal-dual active set strategy. This guarantees L^1 constraints for the volatility, in particular assuring its positivity. The proposed algorithm is founded on a thorough first- and second-order optimality analysis. We prove the existe…
GARCH models with changes in variance: An approximation to risk measurements
2003
This study aims to model volatility as an approximation to an optimum measurement of stock market risk because of the importance of this concept for, among other things, the proper management of portfolios. Following the proposal of Lamoureux and Lastrapes (1990), the authors consider that the high degree of persistence detected in GARCH models arises from a poor specification of the equation of the variance due to not considering the possible deterministic changes in the unconditional variance of the financial series. To determine the point in time as well as the duration of these changes, the proposal made by Inclan and Tiao (1994) is used. As an empirical application, whether or not the …
Volatility of secondary organic aerosol during OH radical induced ageing
2011
The aim of this study was to investigate oxidation of SOA formed from ozonolysis of <i>&alpha;</i>-pinene and limonene by hydroxyl radicals. This paper focuses on changes of particle volatility, using a Volatility Tandem DMA (VTDMA) set-up, in order to explain and elucidate the mechanism behind atmospheric ageing of the organic aerosol. The experiments were conducted at the AIDA chamber facility of Karlsruhe Institute of Technology (KIT) in Karlsruhe and at the SAPHIR chamber of Forchungzentrum Jülich (FZJ) in Jülich. A fresh SOA was produced from ozonolysis of <i>&alpha;</i>-pinene or limonene and then aged by enhanced OH exposure. As an OH radical source in…
Production and investigation of neutron-rich Osmium isotopes with and around N=126 using gas flow transport method
2014
Neutron-rich isotopes of heavy nuclei are until now poorly studied. In this work we investigate neutron-rich osmium isotopes produced in multi-nucleon transfer reactions. The reaction 136Xe+208Pb at energy near Coulomb barrier is used for production of osmium isotopes. The CORSAR-V setup is used to record the characteristics of osmium isotopes. The separation of the reaction products is based on their respective volatility. Experimental results are presented and discussed. © Published under licence by IOP Publishing Ltd.
The volatility of the Dow Jones Pharmaceuticals and Biotechnology Index in the context of the Coronavirus crisis
2020
This paper’s analysis was triggered by the outbreak of the new virus COVID-19. In December 2019, the Chinese officials alerted the World Health Organization (WHO) of the existence of an unknown deadly virus. Coronavirus has rapidly spread across the world - to Europe, Middle East and the USA, forcing the World Health Organization to declare COVID-19 a global pandemic. Its spread has generated major concerns for the health and economic sectors. Meanwhile, all countries hope for the development of a vaccine. Using as a research method the EGARCH model, this paper investigates if it can be applied to model the trend of volatility of the pharmaceuticals and biotechnology markets, especially dur…
Liquidity Synchronization, Its Determinants and Outcomes under Economic Growth Volatility: Evidence from Emerging Asian Economies
2021
This study investigates the country-level determinants of liquidity synchronization and degrees of liquidity synchronization during economic growth volatility. As a non-diversifiable risk factor, liquidity co-movement shock spreads market-wide and thus disrupts the overall functioning of the financial market. Firms in Asian markets operate in legal and regulatory environments distinct from those of firms analyzed in the previous literature. Comprehensive analyses of liquidity synchronicity in emerging markets are limited. A major knowledge gap pertaining to Asian emerging markets serves as the primary motivation for this study. Seven Asian emerging economies are selected from the MSCI emerg…
On survivor stocks in the S&amp;P 500 stock index
2021
This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other S&P 500 index companies, survivor stocks tend to be small value stocks that exhibit high profitability and invest conservatively. Surprisingly, survivor stocks tend to be loser stocks with negative exposure to the momentum factor. Further analyses show that the volatility of the survivor stocks portfolio is less exposed to tail risks and responds less to shocks in the innovation process.