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The scale of market quakes
Financial Markets Currency markets Market Activity Market Impact
2010/11/2
We define a methodology to quantify market activity on a 24 hour basis by defining a scale, the so-called scale of market quakes (SMQ). The SMQ is designed within a framework where we analyse the dyna...
We propose the development of a prediction market for forecasting prices for “toxic assets” to be transferred from Irish banks to the National Asset Management Agency (NAMA). Such a market allows mark...
Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models
Volatility forecasts at-the-money implied relation
2010/10/29
For a given time horizon T, this article explores the relationship between the realized volatility (the volatility that will occur between t and t + T), the implied volatility (corresponding to at-t...