Forecasting High-Frequency Volatility Shocks - An Analytical Real-Time Monitoring System

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.

List of contents

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

About the author

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. 

Summary

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.

Product details

• Authors: Holger Kömm
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 01.01.2016
• EAN: 9783658125950
• ISBN: 978-3-658-12595-0
• No. of pages: 171
• Dimensions: 149 mm x 212 mm x 10 mm
• Weight: 272 g
• Illustrations: XXIX, 171 p. 19 illus.
• Series: Springer Gabler
• Subjects: Social sciences, law, business > Business > Economics; C, Economic Policy, macroeconomics, Economic theory & philosophy, Economics and Finance, Economic Theory, Macroeconomics and Monetary Economics, Macroeconomics/Monetary Economics//Financial Economics, Research & development management, Monetary Economics, Management science, Quantitative Economics, Economic Theory/Quantitative Economics/Mathematical Methods, R & D/Technology Policy, Economic Development, Innovation and Growth