Zobrazeno 1 - 10
of 1 336
pro vyhledávání: '"Moghaddam, M. A."'
Publikováno v:
Foundations 2024, 4(1), 91-113
We undertake a systematic study of historic market volatility spanning roughly five preceding decades. We focus specifically on the time series of realized volatility (RV) of the S&P500 index and its distribution function. As expected, the largest va
Externí odkaz:
http://arxiv.org/abs/2307.03693
Publikováno v:
Phys. Rev. D 102, 014017 (2020)
We study the evolution of the longitudinal expansion of an ideal fluid with finite electrical conductivity, which is subject to the EM fields. In the framework of resistive relativistic-magneto-hydrodynamic, we find an exact analytical solution for t
Externí odkaz:
http://arxiv.org/abs/2002.09752
In this work, we study the 1+1 longitudinal acceleration expansion of hot and dense quark matter as a conducting relativistic fluid with the electric conductivity $\sigma$. The plasma has embedded in the presence of electric and magnetic fields which
Externí odkaz:
http://arxiv.org/abs/1911.05455
Publikováno v:
Eur. Phys. J. B 94, 83 (2021)
We investigate relaxation and correlations in a class of mean-reverting models for stochastic variances. We derive closed-form expressions for the correlation functions and leverage for a general form of the stochastic term. We also discuss correlati
Externí odkaz:
http://arxiv.org/abs/1907.05348
Publikováno v:
Discontinuity, Nonlinearity, and Complexity, 9 (3), 477 - 488 (2020)
We use Generalized Beta Prime distribution, also known as GB2, for fitting response time distributions. This distribution, characterized by one scale and three shape parameters, is incredibly flexible in that it can mimic behavior of many other distr
Externí odkaz:
http://arxiv.org/abs/1907.00070
Publikováno v:
Physica A 559, 125047 (2020)
We argue that a stochastic model of economic exchange, whose steady-state distribution is a Generalized Beta Prime (also known as GB2), and some unique properties of the latter, are the reason for GB2's success in describing wealth/income distributio
Externí odkaz:
http://arxiv.org/abs/1906.04822
Publikováno v:
IJFE 26 (2), 2581-2594 (2021)
We study distributions of realized variance (squared realized volatility) and squared implied volatility, as represented by VIX and VXO indices. We find that Generalized Beta distribution provide the best fits. These fits are much more accurate for r
Externí odkaz:
http://arxiv.org/abs/1906.02306
Autor:
Bahadori-Moghaddam, M., Kargar, S., Kanani, M., Zamiri, M.J., Arefi-Oskouie, A., Albenzio, M., Caroprese, M., Ciliberti, M.G., Ghaffari, M.H.
Publikováno v:
In animal June 2023 17(6)
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
Autor:
Moghaddam, M. Dashti, Serota, R. A.
Publikováno v:
Applied Economics and Finance (2019) Vol. 6, No. 5, pp. 104-130
We analyze correlations between squared volatility indices, VIX and VXO, and realized variances -- the known one, for the current month, and the predicted one, for the following month. We show that the ratio of the two is best fitted by a Beta Prime
Externí odkaz:
http://arxiv.org/abs/1810.07735