By Didier Sornette
The present monetary trouble has published critical flaws in types, measures and, probably, theories, that did not supply forward-looking expectancies for upcoming losses originated from marketplace dangers. The court cases of the Perm wintry weather institution 2011 suggest insights on many key concerns and advances in monetary markets modeling and chance size aiming to bridge the distance. the foremost addressed issues contain: hierarchical and ultrametric types of economic crashes, dynamic hedging, arbitrage unfastened modeling the time period constitution of rates of interest, agent dependent modeling of order stream, asset pricing in a fractional industry, hedge money functionality and plenty of more.
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Extra resources for Market Risk and Financial Markets Modeling
The following characteristics were calculated for each agent: • • • • Buy/sell limit order submission frequency, orders per minute; Traded volume, shares per minute; Weighted average of order prices submitted, rubles; Last trade price of the minute, rubles. Agent Clustering In order to reverse engineer the agents’ typology, we wanted to cluster the market participants to form homogeneous groups based on their behavior attributes such as intensity of order placement, average order size, deviation of order price from market price, etc.
We also will try to construct econometric models not only for RTCI as an independent factor, but also for other indicators that represent different aspects of liquidity. Constructing an integral indicator that reflects market liquidity is an issue for further research. References Berkowitz, J. (2000) Incorporating Liquidity Risk Into Value-at-Risk Models. Working paper, University of California, Irvine. Cosandey, D. 115-118. , P. Van Wynendaele (2001) Integrating Liquidity Risk in a Parametric Intraday VaR Framework.
T n ) ) for discrete moments of time t 0 < t1 < ... < t n ≤ T (in this work the time-step is one second). The approach will be illustrated for the upper-shock bound but can be easily extrapolated for the other class. , t k ' are such that ψ (ti ' ) ≥ 0 . The upper-shock bound m(t ) can be constructed with various methods. The upper confidence level concept is proposed as rather simple and simultaneously efficient. ,ψ k ) ; qα is the fractile of the normal distribution N (0,σ ψ2 ) for α % level.