The relativity of the fractional Gamma Clock
Bank of America quant expands his Gamma Clock model with a fractional Brownian motion
CLICK HERE TO DOWNLOAD THE PDF
The bivariate Gamma Clock model introduced a novel technique of exposing the relative nature of the passage of time in financial markets. Here Lyudmil Zyapkov overlays the construction of a stochastic volatility model based on two correlated Gamma processes with a fractional Brownian motion, the long-term memory of which is conducive to reflecting the market-observable phenomenon of volatility persistence. While retaining its relativistic nature, the new fractional
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Cutting Edge
A market-making model for an options portfolio
Vladimir Lucic and Alex Tse fill a glaring gap in European-style derivatives modelling
Option market-making and vol arbitrage
The agent’s view is factored in to a realised-vs-implied vol model
Degree of influence 2024: volatility and credit risk keep quants alert
Quantum-based models and machine learning also contributed to Cutting Edge’s output
Overcoming Markowitz’s instability with hierarchical risk parity
Portfolio optimisation via HRP provides stable and robust weight estimates
Funding arbitrages and optimal funding policy
Stochastic control can be used to manage a bank’s net asset income
Quantum two-sample test for investment strategies
Quantum algorithms display high discriminatory power in the classification of probability distributions
Market-making in spot precious metals
A market-making framework is extended to account for metal markets’ liquidity constraints
Choosing trading strategies using importance sampling
The sampling technique is more efficient than A-B testing at comparing decision rules
