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on Risk Management |
| By: | Julio A. Crego (Tilburg University); Julio Gálvez (Banco de España) |
| Abstract: | We examine linear correlation and tail dependence between market neutral hedge funds and the market portfolio conditional on the financial cycle. We document that the low correlation between these funds and the S&P 500 consists of a negative correlation during bear periods and a positive one during bull periods. In contrast, the remaining styles present a positive correlation across cycles. We also find that these funds present tail dependence only during bull periods. We study their implications for market timing and risk management. |
| Keywords: | hedge funds, market neutrality, market timing, tail dependence, risk management |
| JEL: | G11 G23 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:bde:wpaper:2141&r= |
| By: | Paul H. Kupiec (American Enterprise Institute) |
| Abstract: | Analysis of data on bank-specific average PPP loan size produces results that are inconsistent with a loan demand explanation. Absent good measures of PPP loan demand, the source of the observed differences in bank PPP loan activity cannot be definitively identified using bank regulatory data alone. |
| Keywords: | Banks, Coronavirus, Fiscal Stimulus, Risk, US Economy |
| JEL: | A |
| Date: | 2020–12 |
| URL: | http://d.repec.org/n?u=RePEc:aei:rpaper:1008587533&r= |
| By: | Dong Hwan Oh; Andrew J. Patton |
| Abstract: | Many important economic decisions are based on a parametric forecasting model that is known to be good but imperfect. We propose methods to improve out-of-sample forecasts from a mis- speci ed model by estimating its parameters using a form of local M estimation (thereby nesting local OLS and local MLE), drawing on information from a state variable that is correlated with the misspeci cation of the model. We theoretically consider the forecast environments in which our approach is likely to o¤er improvements over standard methods, and we nd signi cant fore- cast improvements from applying the proposed method across distinct empirical analyses including volatility forecasting, risk management, and yield curve forecasting. |
| Keywords: | Model misspecification; Local maximum likelihood; Volatility forecasting; Value-at-risk and expected shortfall forecasting; Yield curve forecasting |
| JEL: | C53 C51 C58 C14 |
| Date: | 2021–11–05 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2021-71&r= |
| By: | Guo, Dong; Zhou, Peng (Cardiff Business School) |
| Abstract: | The COVID pandemic reveals the fragility of the global financial market during rare disasters. Conventional safe-haven assets like gold can be used to hedge against ordinary risks, but tail dependence can substantially reduce the hedging effectiveness. In contrast, green bonds focus on long-term, sustainable investments, so they become an important hedging tool against climate risks, financial risks, as well as rare disasters like COVID. The copula approach based on the TGARCH model is applied to estimate the joint distributions between green bonds and selected financial assets in both US and China. The quantile-based approach is also performed to offer a robustness check on tail dependence. The results show that all assets in the two countries have thick tails and tail dependence with time-varying features. The hedging effectiveness does decline during the COVID pandemic, but it is the hedging effectiveness against tail risks rather than against normal risks. It is argued that green bonds play a significant role in hedging against rare disasters especially in forex markets. It is also found that green bonds in the US and China converge in many aspects, suggesting a smaller cross-country difference than cross-asset difference. |
| Keywords: | green bonds; hedging effectiveness; COVID |
| JEL: | G11 G12 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:cdf:wpaper:2021/28&r= |
| By: | Černý, Aleš; Czichowsky, Christoph; Kallsen, Jan |
| Abstract: | The paper investigates quadratic hedging in a general semimartingale market that does not necessarily contain a risk-free asset. An equivalence result for hedging with and without numeraire change is established. This permits direct computation of the optimal strategy without choosing a reference asset and/or performing a numeraire change. New explicit expressions for optimal strategies are obtained, featuring the use of oblique projections that provide unified treatment of the case with and without a risk-free asset. The main result advances our understanding of the efficient frontier formation in the most general case where a risk-free asset may not be present. Several illustrations of the numeraire-invariant approach are given. |
| Keywords: | mean–variance portfolio selection; quadratic hedging; numeraire change; oblique projection; opportunity-neutral measure; mean–variance hedging |
| JEL: | G11 G12 C61 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:112612&r= |
| By: | Juncal Cunado (Department of Economics, University of Navarra, Pamplona, Spain); David Gabauer (Data Analysis Systems, Software Competence Center Hagenberg, Hagenberg, Austria); Rangan Gupta (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa) |
| Abstract: | This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post COVID-19 era, using the TVP-VAR based connectedness approach of Antonakakis et al. (2020). The results suggest that market interconnectedness slightly increased following the outbreak of COVID-19, although this increase was lower and less persistent than that observed after the Global Financial Crisis of 2008. Furthermore, we find that crude oil was the main transmitter of shocks during the period prior to COVID-19 while heating oil, gold and silver became the main transmitters of shocks during the COVID-19 pandemic. On the contrary, natural gas and palladium have been the main receivers of shocks during the whole sample period, making these two commodities attractive hedging and safe-haven options for investors during the pandemic crisis. The implications of our findings for portfolio diversification and energy transition policies are discussed. |
| Keywords: | Realized volatilities, energy market, metal market, TVP-VAR, dynamic connectedness |
| JEL: | C32 C50 G15 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:202180&r= |
| By: | Mr. Fabio Comelli; Ms. Sumiko Ogawa |
| Abstract: | This paper reviews the approaches to systemic risk analysis in 32 central bank financial stability reports (FSRs). We compare and contrast the systemic risk analysis in FSRs with the IMF Article IV staff reports, noting that Article IV staff reports and FSRs frequently pick up analytical content from each other. All reviewed FSRs include a systemic risk assessment, which has not always been the case in Article IV staff reports. Also, compared to Article IV staff reports, on average, FSRs tend to cover a wider range of financial risks and vulnerabilities and tend to have more extensive discussions of the policy mix to mitigate systemic risk. In these assessments, FSRs utilize sophisticated analytical tools, such as stress tests and growth-at-risk, more frequently than Article IV staff reports. We emphasize that a central bank FSR typically presents a rich resource that IMF country teams can leverage, as already done by some, in forming their independent view about systemic risk. |
| Keywords: | IMF article IV staff report; IMF country team; central bank FSR; IMF article IV surveillance; IMF article IV consultation; Systemic risk; Financial sector stability; Macroprudential policy; Stress testing; Systemic risk assessment; Global; Caribbean |
| Date: | 2021–07–30 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/200&r= |
| By: | Paraskevi Tzika (Department of Economics, University of Macedonia); Theologos Pantelidis (Department of Economics, University of Macedonia) |
| Abstract: | This paper examines the contribution of Economic Policy Uncertainty (EPU) to the persistence of shocks to stock market volatility. The study applies an innovative approach that compares the half-life of a shock in the context of a bivariate V AR model that includes the volatility of stock returns and EPU, with the half-life of the equivalent univariate ARMA model for the stock return volatility. Based on daily data for the UK and the US, the empirical results corroborate that EPU contributes to the persistence of shocks to stock market volatility for both countries. This contribution is higher for the US, where 14.3% of the persistence of shocks to stock market volatility can be attributed to the EPU index. |
| Keywords: | Economic Policy Uncertainty, Stock Market Volatility, Persistence, Half-Life |
| JEL: | C22 C32 E44 |
| Date: | 2021–09 |
| URL: | http://d.repec.org/n?u=RePEc:mcd:mcddps:2021_11&r= |
| By: | Tom Gillespie (Department of Economics, Trinity College Dublin); Ronan C. Lyons (Department of Economics, Trinity College Dublin); Thomas K. J. McDermott (Discipline of Economics, NUI Galway) |
| Abstract: | In this paper, we test the effect of new information about flood risk on housing prices in Ireland. Our core finding is that information matters. Sales prices responded dramatically to the release of flood risk maps in 2011, with the emergence of a 3.1% price discount for dwellings at risk of flooding. This flood discount is not observed prior to the release of the new risk information, for dwellings defended by flood relief schemes, or for rental dwellings. We also document public attitudes to flood risk through survey findings that suggest a continuing information deficit in relation to flood risk. |
| Keywords: | Flood Hazards, Hedonic Prices, Urban Planning, Information Updating, Risk Assessments |
| JEL: | H54 Q54 R21 |
| Date: | 2020–07 |
| URL: | http://d.repec.org/n?u=RePEc:tcd:tcduee:tep1620&r= |
| By: | Christa Cuchiero; Christoph Reisinger; Stefan Rigger |
| Abstract: | We consider the problem faced by a central bank which bails out distressed financial institutions that pose systemic risk to the banking sector. In a structural default model with mutual obligations, the central agent seeks to inject a minimum amount of cash to a subset of the entities in order to limit defaults to a given proportion of entities. We prove that the value of the agent's control problem converges as the number of defaultable agents goes to infinity, and that it satisfies a drift controlled version of the supercooled Stefan problem. We compute optimal strategies in feedback form by solving numerically a forward-backward coupled system of PDEs. Our simulations show that the agent's optimal strategy is to subsidise banks whose asset values lie in a non-trivial time-dependent region. Finally, we study a linear-quadratic version of the model where instead of the terminal losses, the agent optimises a terminal cost function of the equity values. In this case, we are able to give semi-analytic strategies, which we again illustrate numerically. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.01783&r= |
| By: | Chen, Huang; Liu, Kexin; Hou, Lingling |
| Keywords: | Agricultural Finance, Risk and Uncertainty |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ags:iaae21:315880&r= |
| By: | Sumit Agarwal; Slava Mikhed; Barry Scholnick; Man Zhang |
| Abstract: | We document that increasing penalties for default reduces strategic default in financial crises by exploiting the 2009 changes to Canadian consumer insolvency regulations. Our novelty is that the incentives from increasing penalties for default operate in the opposite direction from incentives in more typical financial crisis policy interventions, which increase the liquidity of debtors. We can identify strategic default because our policy intervention is independent of debtors’ liquidity and initial selection into long-term debt contracts. Our results imply that even insolvent debtors can be incentivized to reduce default during financial crises without the typical interventions, which increase debtors’ liquidity |
| Keywords: | strategic default; financial crisis |
| JEL: | G01 G21 G51 |
| Date: | 2021–11–08 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:93327&r= |
| By: | Sebastian Edwards |
| Abstract: | This paper deals with COVID and macroprudential regulations in emerging markets. I document the build-up of a sturdy macroprudential structure during 2009-2019, and the relaxation of regulations in 2020-2021, as part of the effort to deal with the sanitary emergency. I show that in every country, regulatory forbearance played a key role in the response to COVID. I discuss capital controls as macroprudential instruments. I argue that rebuilding the macroprudential fabric is important to reduce the costs of future systemic shocks. I maintain that post-COVID regulations should incorporate the risks associated with digital currencies. |
| JEL: | E31 E52 E58 F3 F41 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29441&r= |
| By: | Sandrine Brèteau-Amores; Marielle Brunette; Christophe François; Antoine Leblois; Nicolas Martin-StPaul |
| Abstract: | Drought-induced risk of forest dieback is increasing due to climate change. Insurance can be a good option to compensate potential financial losses associated with forest production losses. In this context, we developed an ex ante index-based insurance model to cope with drought-induced risk of forest dieback. We applied this model to beech and oak forests in France. We defined and then compared different indices from simple ones relying on rainfall indices to more complex ones relying on the functional modelling of forest sensitivity to water stress. After the calibration of the contract parameters, an insurance scheme was optimized and tested. We showed that optimal insurance contracts generate low gain of certain equivalent income, high compensation, and a high basis risk. The best contract was not proportional to the complexity of the index. There was no clear advantage to differentiate contracts based on species. Results highlighting the various perspectives of this first approach are discussed at the end of this paper. |
| Keywords: | Drought; Forest; Index insurance. |
| JEL: | D01 G22 Q23 Q54 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ulp:sbbeta:2021-44&r= |
| By: | Arora, Gaurav; Agarwal, Sandip |
| Keywords: | Crop Production/Industries, Risk and Uncertainty |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ags:iaae21:315884&r= |
| By: | Ariana Paola Cortés à ngel; Mustafa Hakan Eratalay |
| Abstract: | In this paper, we analyse the dynamic partial correlation network of the constituent stocks of S&P Europe 350. We focus on global parameters such as radius, which is rarely used in financial networks literature, and also the diameter and distance parameters. The first two parameters are useful for deducing the force that economic instability should exert to trigger a cascade effect on the network. With these global parameters, we hone the boundaries of the strength that a shock should exert to trigger a cascade effect. In addition, we analysed the homophilic profiles, which is quite new in financial networks literature. We found highly homophilic relationships among companies, considering firms by country and industry. We also calculate the local parameters such as degree, closeness, betweenness, eigenvector, and harmonic centralities to gauge the importance of the companies regarding different aspects, such as the strength of the relationships with their neighbourhood and their location in the network. Finally, we analysed a network substructure by introducing the skeleton concept of a dynamic network. This subnetwork allowed us to study the stability of relations among constituents and detect a significant increase in these stable connections during the Covid-19 pandemic. |
| Keywords: | Financial Networks, Centralities, Homophily, Multivariate GARCH, Networks Connectivity, Gaussian graphical model, Covid-19 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:mtk:febawb:134&r= |
| By: | Tae-Hwy Lee (Department of Economics, University of California Riverside); He Wang (University of International Business and Economics, Beijing); Zhou Xi (Citigroup); Ru Zhang (JP Morgan Chase) |
| Abstract: | We consider a multiplicative decomposition of the financial returns to improve the density forecasts of financial returns. The multiplicative decomposition is based on the identity that financial return is the product of its absolute value and its sign. Advantages of modeling the two components are discussed. To reduce the effect of the estimation error due to the multiplicative decomposition in estimation of the density forecast model, we impose a moment constraint that the conditional mean forecast is set to match with the sample mean. Imposing such a moment constraint operates a shrinkage and tilts the density forecast of the decomposition model to produce the improved maximum entropy density forecast. An empirical application to forecasting density of the daily stock returns demonstrates the benefits of using the decomposition and imposing the moment constraint to obtain the improved density forecast. We evaluate the density forecast by comparing the logarithmic score, the quantile score, and the continuous ranked probability score. We contribute to the literature on the density forecast and the decomposition models by showing that the density forecast of the decomposition model can be improved by imposing a sensible constraint in the maximum entropy framework. |
| Keywords: | Decomposition, Copula, Moment constraint, Maximum entropy, Density forecast, Logarithmic score, Quantile score, VaR, Continuous ranked probability score. |
| JEL: | C1 C3 C5 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:ucr:wpaper:202115&r= |
| By: | Hamed Amini (Georgia State University - USG - University System of Georgia); Zhongyuan Cao (MATHRISK - Mathematical Risk Handling - Inria de Paris - Inria - Institut National de Recherche en Informatique et en Automatique - ENPC - École des Ponts ParisTech - UPEM - Université Paris-Est Marne-la-Vallée); Agnes Sulem (MATHRISK - Mathematical Risk Handling - Inria de Paris - Inria - Institut National de Recherche en Informatique et en Automatique - ENPC - École des Ponts ParisTech - UPEM - Université Paris-Est Marne-la-Vallée) |
| Date: | 2021–11–16 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03425599&r= |
| By: | Asif Lakhany; Amber Zhang |
| Abstract: | Non-cleared bilateral OTC derivatives between two financial firms or systemically important non-financial entities are subject to regulations that require the posting of initial and variation margin. The ISDA standard approach (SIMM) provides a way for computing the initial margin. It involves computing sensitivities of the contracts with respect to several market factors. In this paper, the authors extend the well known LSMC technique to efficiently estimate the sensitivities required in the ISDA SIMM methodology. |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2110.13296&r= |
| By: | Bougherara, Douadia; Friesen, Lana; Nauges, Céline |
| Keywords: | We study the interaction between risk taking and skewness seeking behavior among the French population using an experiment that elicits certainty equivalent over lotteries that vary the second and third moments orthogonally. We find that the most common behavior is risk avoidance and skewness seeking. On average, we find no interaction between the two, and a weakly significant interaction only in some segments of the population. That is, in most cases, skewness seeking is not affected by the variance of the lotteries involved, nor is risk taking affected by the skewness of the lotteries. We also find a significant positive correlation between risk avoiding and skewness seeking behavior. Older and female participants make more risk avoiding and more skewness seeking choices, while less educated people and those not in executive occupations are more skewness seeking. |
| JEL: | C93 D81 |
| Date: | 2021–11–24 |
| URL: | http://d.repec.org/n?u=RePEc:tse:wpaper:126183&r= |
| By: | Vito Polito; Yunyi Zhang |
| Abstract: | We develop a regime switching vector autoregression where artificial neural networks drive time variation in the coefficients of the conditional mean of the endogenous variables and the variance covariance matrix of the disturbances. The model is equipped with a stability constraint to ensure non-explosive dynamics. As such, it is employable to account for nonlinearity in macroeconomic dynamics not only during typical business cycles but also in a wide range of extreme events, like deep recessions and strong expansions. The methodology is put to the test using aggregate data for the United States that include the abnormal realizations during the recent Covid-19 pandemic. The model delivers plausible and stable structural inference, and accurate out-of-sample forecasts. This performance compares favourably against a number of alternative methodologies recently proposed to deal with large outliers in macroeconomic data caused by the pandemic. |
| Keywords: | nonlinear time series, regime switching models, extreme events, Covid-19, macroeconomic forecasting |
| JEL: | C45 C50 E37 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9395&r= |
| By: | Perry Singleton (Center for Policy Research, Maxwell School, Syracuse University, 426 Eggers Hall, Syracuse, NY 13244) |
| Abstract: | Behavioral bias in occupational fatality risk is introduced to the theoretical framework of hedonic wages, yielding an endogenous risk ceiling that increases social welfare. Empirically, bias is most evident among workers with no high school diploma, who do not report relatively greater exposure to death in high fatality rate occupations. These findings suggest that extant population estimates of value of statistical life are biased downwards and should be factored by at least 1.35. Under reasonable assumptions, simulations suggest an optimal risk ceiling between 73.0 to 85.9 percentile of the population distribution of occupational fatality risk. |
| Keywords: | Compensating Wage Differentials, Value of Statistical Life, Workplace Safety, Occupational Safety |
| JEL: | J31 J81 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:max:cprwps:242&r= |
| By: | Mr. Alejandro D Guerson |
| Abstract: | This paper quantifies the savings obtained from risk pooling with a Regional Stabilization Fund (RSF) for the Eastern Caribbean Currency Union. A Monte Carlo experiment is used to estimate the size of a RSF conditional on probabilities of depletion under specific saving-withdrawal rules. Results indicate that regional risk pooling requires about half of the saving amount relative to the sum of individual-country savings. In addition to reducing the amount of saving requirements for stabilization, the RSF can improve welfare by realocating government consumption savings during booms towards public investment during recessions, resulting in an increase of public investment in the range of 0.5-1.5 percent of GDP per year depending on the country, with positive growth dividends. Moreover, the RSF also reduces the dispersion of public debt outcomes in light of the cross-country cyclical synchronicity of output and revenue, thereby strengthening the stability of the regional currency board. |
| Keywords: | RSF conditional; saving-withdrawal rule; Monte Carlo experiment; fund simulation; saving-investment rule; Public investment spending; Standing facilities; Government consumption; Caribbean |
| Date: | 2021–07–16 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/191&r= |
| By: | Thomas Dohmen; Arjan Non; Tom Stolp |
| Abstract: | We conduct laboratory experiments to investigate basic predictions of principal-agent theory about the choice of piece rate contracts in the presence of output risk, and provide novel insights that reference dependent preferences affect the tradeoff between risk and incentives. Subjects in our experiments choose their compensation for performing a real-effort task from a menu of linear piece rate and fixed payment combinations. As classical principal-agent models predict, more risk averse individuals choose lower piece rates. However, in contrast to those predictions, we find that low-productivity risk averse workers choose higher piece rates when the riskiness of the environment increases. We hypothesize that reference points affect piece rate choice in risky environments, such that individuals whose expected earnings would exceed (fall below) the reference point in a risk-free environment behave risk averse (seeking) in risky environments. In a second experiment, we exogenously manipulate reference points and confirm this hypothesis. |
| Keywords: | Incentive, piece-rate, risk, reference point, laboratory experiment |
| JEL: | D81 D91 M52 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:bon:boncrc:crctr224_2021_322&r= |
| By: | Carlo Altavilla (European Central Bank, CSEF and CEPR.); Andrew Ellul (Indiana University, CSEF, CEPR and ECGI.); Marco Pagano (University of Naples Federico II, CSEF, EIEF, CEPR and ECGI.); Andrea Polo (Luiss University, EIEF, CEPR and ECGI.); Thomas Vlassopoulos (European Central Bank.) |
| Abstract: | We investigate whether government credit guarantee schemes, extensively used after the onset of the Covid-19 pandemic, led to substitution of non-guaranteed with guaranteed credit rather than fully adding to the supply of lending. We study this issue using a unique euro-area credit register data, matched with supervisory bank data and establish two main findings. First, guaranteed loans were mostly extended to small but comparatively creditworthy firms in sectors severely affected by the pandemic, borrowing from large, liquid and well-capitalized banks. Second, guaranteed loans partially substitute pre-existing non-guaranteed debt. For firms borrowing from multiple banks, the substitution arises from the lending behavior of the bank extending guaranteed loans, whose drop in non-guaranteed lending is about 9 times larger than for other banks that lend to the same firm. Substitution was highest for funding granted to riskier and smaller firms in sectors more affected by the pandemic, and borrowing from larger and stronger banks. Overall, the evidence indicates that government guarantees contributed to the continued extension of credit to relatively creditworthy firms hit by the pandemic, but also benefited banks’ balance sheets to some extent. |
| Date: | 2021–11–14 |
| URL: | http://d.repec.org/n?u=RePEc:sef:csefwp:629&r= |
| By: | William Barcelona; Nathan L. Converse; Anna Wong |
| Abstract: | This paper demonstrates that the measured stock of China's holding of U.S. assets could be much higher than indicated by the U.S. net international investment position data due to unrecorded historical Chinese inflows into an increasingly popular global safe haven asset: U.S. residential real estate. We first use aggregate capital flows data to show that the increase in unrecorded capital inflows in the U.S. balance of payment accounts over the past decade is mainly linked to inflows from China into U.S. housing markets. Then, using a unique web traffic dataset that provides a direct measure of Chinese demand for U.S. housing at the zip code level, we estimate via a difference-in-difference matching framework that house prices in major U.S. cities that are highly exposed to demand from China have on average grown 7 percentage points faster than similar neighborhoods with low exposure over the period 2010-2016. These average excess price growth gaps co-move closely with macro-level measures of U.S. capital inflows from China, and tend to widen following periods of economic stress in China, suggesting that Chinese households view U.S. housing as a safe haven asset. |
| Keywords: | China; Housing and real estate; Capital flows; Safe assets |
| JEL: | F30 F60 R30 |
| Date: | 2021–11–12 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgif:1332&r= |
| By: | Jeremy D. Turiel; Tomaso Aste |
| Abstract: | With the rise of computing and artificial intelligence, advanced modeling and forecasting has been applied to High Frequency markets. A crucial element of solid production modeling though relies on the investigation of data distributions and how they relate to modeling assumptions. In this work we investigate volume distributions during anomalous price events and show how their tail exponents |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2110.13718&r= |