Forecasting High-Frequency Volatility Shocks (eBook)

An Analytical Real-Time Monitoring System

Holger Kömm (Autor)

eBook Download: PDF

2016 | 1st ed. 2016
XXIX, 171 Seiten
Springer Fachmedien Wiesbaden GmbH (Verlag)
978-3-658-12596-7 (ISBN)

Infos

This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two-state Markov switching mixture model for autoregressive and zero-inflated time-series to identify structural breaks in a latent data generation process and third, a selection of competing pattern recognition algorithms to classify the potential information embedded in unexpected, but public observable text data in shock and nonshock information. The monitor is trained, tested, and evaluated on a two year survey on the prime standard assets listed in the indices DAX, MDAX, SDAX and TecDAX.

Dr. Holger Kömm is research associate at the chair of statistics and quantitative methods in the economics & business department of the Catholic University Eichstätt-Ingolstadt. 

Inhalt

Integrated Volatility.- Zero-inflated Data Generation Processes.- Algorithmic Text Forecasting.

Produkt-Details

• Erscheint lt. Verlag: 8.2.2016
• Zusatzinfo: XXIX, 171 p. 19 illus.
• Verlagsort: Wiesbaden
• Sprache: englisch
• Themenwelt: Technik
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre
• Schlagworte: Algorithmic Text Forecasting • Integrated Volatility • Monitoring • Time Series and Textual Data • Zero-inflated Data Generation Processes
• ISBN-10: 3-658-12596-9 / 3658125969
• ISBN-13: 978-3-658-12596-7 / 9783658125967