题目: Cryptos Have Rough Volatility and Correlated Jumps
报告人：Wolfgang Karl Härdle 教授
时间：2024年11月3日下午 16:00-17:00
地点：本部维格堂119
摘要:
Contrary to expectations some years ago, the crypto market has matured and gives the impression of an established financial eco system. Certainly, some deviations from robustness, typically reflected in event related volatility bursts and spikes, are observed, but a liquid derivatives market has been established, at least for the dominant digital assets. It is therefore not only necessary for pricing contingent claims to understand the stochastic dynamics via a solid data analysis but also to provide instruments identifying volatility patterns and their dynamic evolvement. Using the Bitcoin as a representative instrument, we ventured to model this particular crypto coin dynamics via a combination of roughness in volatility and jumps in the underlying crypto currency. Findings on the roughness, e.g. the size of the Hurst exponent for the volatility dynamics, revealed remarkable differences when compared to corresponding estimates for equities and fixed income funds. Through a parametric bootstrap we give evidence that both roughness and jumps are crucial for predicting the range of next-day returns in terms of a simulated confidence interval. By scaling up the jump sizes we obtained a nicely working combination of volatility roughness and jumps (of the underlying) resulting in precise coverage levels. All calculations may be redone on page4image1478940992.pngquantlet.com and courselets are in page4image1478945360.pngquantinar.com
个人简介：Wolfgang Karl Härdle德国柏林洪堡大学统计与经济计量系终生教授，著名计量经济学家和统计学家，研究领域为高维非平稳时间序列分析、机器学习、文本分析、半参数和非参数计量经济学、金融市场风险建模等。在Annals of Statistics，Journal of Econometrics, Journal of Business Economic & Statistic, ,Journal of the American Statistical Association, Econometric Theory, Journal of the Royal Statistical Society, Journal of Financial Econometrics, Journal of Time Series Analysis等国际权威期刊上发表上百篇学术论文。同时是北京大学光华管理学院和厦门大学王亚南经济研究院客座教授。
邀请人：严继高