Essays on economic sentiment dynamics and asymmetric multifractal models of financial volatility
Year of publication: |
2021
|
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Authors: | Sushko, Stepan S. |
Other Persons: | Lux, Thomas (degree supervisor) |
Institutions: | Christian-Albrechts-Universität zu Kiel (degree granting) |
Publisher: |
Kiel |
Subject: | Continuous-time Markov Chain | agent-based models | EM-algorithm | matrix exponential | Maximum-likelihood estimation | Kolmogorov forward equation | transition probability estimation | Hessenberg matrix | calibration | option pricing | stylized facts | Local Risk-Neutral Valuation Relationship | martingale measure | Monte Carlo simulations | parallel computations on GPUs | equity risk premium | Finanzanalyse | Financial analysis | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Markov-Kette | Markov chain | Volatilität | Volatility | Börsenkurs | Share price | Optionsgeschäft | Option trading | Agentenbasierte Modellierung | Agent-based modeling | Frühindikator | Leading indicator | Emotion | Experten | Experts |
Extent: | 1 Online-Ressource (xiii, 430 Blätter) Illustrationen |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Hochschulschrift ; Graue Literatur ; Non-commercial literature |
Language: | English |
Thesis: | Dissertation, Christian-Albrechts-Universität zu Kiel, 2021 |
Source: | ECONIS - Online Catalogue of the ZBW |
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