Zobrazeno 1 - 10
of 44
pro vyhledávání: '"Masaaki, Fukasawa"'
We show that typical behaviors of market participants at the high frequency scale generate leverage effect and rough volatility. To do so, we build a simple microscopic model for the price of an asset based on Hawkes processes. We encode in this mode
Externí odkaz:
http://arxiv.org/abs/1609.05177
Publikováno v:
Quantitative Finance. :1-11
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bce2501ea801fe69b7b3a3142ce7c3c2
https://doi.org/10.1080/14697688.2023.2202708
https://doi.org/10.1080/14697688.2023.2202708
Publikováno v:
Mathematical Finance. 32:1086-1132
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6af5a8ccbf08729f4dafe9c44fa55c20
https://doi.org/10.1111/mafi.12354
https://doi.org/10.1111/mafi.12354
Publikováno v:
Mathematical Finance. 32:1066-1085
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::62a0775779c315fb29e6259656d1de0e
https://doi.org/10.1111/mafi.12355
https://doi.org/10.1111/mafi.12355
Publikováno v:
SIAM Journal on Financial Mathematics. 13:SC66-SC73
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7a2f46a5a8b842c3f0f68c9a224dd126
https://doi.org/10.1137/22m1482871
https://doi.org/10.1137/22m1482871
We consider Geometric Mean Market Makers -- a special type of Decentralized Exchange -- with two types of users: liquidity takers and arbitrageurs. Liquidity takers trade at prices that can create arbitrage opportunities, while arbitrageurs align the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7b1dc30bc93ee3b851ebffb62509954d
http://arxiv.org/abs/2303.11118
http://arxiv.org/abs/2303.11118
Autor:
Alexandre Brouste, Masaaki Fukasawa, Hideitsu Hino, Stefano Iacus, Kengo Kamatani, Yuta Koike, Hiroki Masuda, Ryosuke Nomura, Teppei Ogihara, Yasutaka Shimuzu, Masayuki Uchida, Nakahiro Yoshida
Publikováno v:
Journal of Statistical Software, Vol 57, Iss 1, Pp 1-51 (2014)
The YUIMA Project is an open source and collaborative effort aimed at developing the R package yuima for simulation and inference of stochastic differential equations. In the yuima package stochastic differential equations can be of very abstract typ
Externí odkaz:
https://doaj.org/article/7bc6d5ad145b444f9f69e9a8d83e7c7c
Publikováno v:
The ANZIAM Journal. 63:104-122
We study the static maximization of long-term averaged profit, when optimal preset thresholds are determined to describe a pairs trading strategy in a general one-dimensional ergodic diffusion model of a stochastic spread process. An explicit formula
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::629f0b34156609482dad45e10e329891
https://doi.org/10.1017/s1446181121000298
https://doi.org/10.1017/s1446181121000298
Autor:
Masaaki Fukasawa, Asuto Hirano
Publikováno v:
Quantitative Finance. 21:1127-1146
We revisit the Hybrid scheme proposed by Bennedsen et al. (2017) for numerical simulations of Brownian semistationary processes, and propose a Refinement by Reducing and Reusing random numbers of t...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b0d7262536619177afe6c6226dad4cfa
https://doi.org/10.1080/14697688.2020.1866209
https://doi.org/10.1080/14697688.2020.1866209
Autor:
Jim Gatheral, Masaaki Fukasawa
Publikováno v:
SSRN Electronic Journal.
Following an approach originally suggested by Balland in the context of the SABR model, we derive an ODE that is satisfied by normalized volatility smiles for short maturities under a rough volatility extension of the SABR model that extends also the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::87eabd5b0b0ba6d80f8dccd8d82b457f
https://doi.org/10.2139/ssrn.3844278
https://doi.org/10.2139/ssrn.3844278