This behavior may suggest that the possibility of long time continuous large volatilities of stock prices is small.
Continuous-time stochastic volatility models are becoming an increasingly popular way to describe moderate and high-frequency financial data.
In the discrete-time ARCH class of models, the expectations are formulated in terms of directly observable variables, while the discrete and continuous-time stochastic volatility models involve latent state variable(s).
Condensation of lower-volatility compounds was also observed at the evaporation fronts of higher-volatility compounds, leading to a continuous accumulation of the lower-volatility compounds downstream of their evaporation fronts.
The continuous integration of volatile renewable power systems (e.g., photovoltaic (PV) and wind power systems) poses an additional challenge, since power generation volatility complicates the required balancing of energy supply and demand [6].
This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market.
The results suggest that the auctions attract very little volume, the intraday pattern of volume and volatility in the continuous market remains unchanged and a large fraction of price discovery, measured by the Weighted Price Contribution, still takes place in the first 15 min of continuous market.
We are going to investigate a robust extension of the no-good-deal hedging approach in continuous time under combined ambiguity about the volatilities and drifts.
Furthermore, there is also no room for a diffusive volatility given that there is no continuous martingale component in the price process.
The volatility switches over time subject to a continuous-time Markov chain.
