Shunji Kakinaka - Asymmetric volatility dynamics in cryptocurrency markets京都大学大学院情報学研究科数理工学専攻
Presentation slides given at the AMP departmental seminar, May 31, 2021.
Shunji Kakinaka is a PhD student with the Physical Statistics Research Group, Department of Applied Mathematics and Physics (AMP), Graduate School of Informatics, Kyoto University.
Abstract:
Asymmetric correlation between price and volatility is a prominent feature of financial market time series. In this short presentation, the stylized facts of the relationship between price and volatility in cryptocurrency markets are introduced. In addition, the presence of asymmetric volatility effect between uptrend (bull) and downtrend (bear) regimes are investigated using the nonlinear cross-correlation coefficient measures.
京都大学大学院情報学研究科 数理工学専攻
離散数理分野(研究室)の案内
離散数学や組合せ最適化の理論と応用を研究している研究室です.
キーワード:離散数学,組合せ最適化,グラフ理論,オペレーションズリサーチ
http://www-or.amp.i.kyoto-u.ac.jp
Department of Applied Mathematics and Physics,
Graduate School of Informatics, Kyoto University,
Japan
Shunji Kakinaka - Asymmetric volatility dynamics in cryptocurrency markets京都大学大学院情報学研究科数理工学専攻
Presentation slides given at the AMP departmental seminar, May 31, 2021.
Shunji Kakinaka is a PhD student with the Physical Statistics Research Group, Department of Applied Mathematics and Physics (AMP), Graduate School of Informatics, Kyoto University.
Abstract:
Asymmetric correlation between price and volatility is a prominent feature of financial market time series. In this short presentation, the stylized facts of the relationship between price and volatility in cryptocurrency markets are introduced. In addition, the presence of asymmetric volatility effect between uptrend (bull) and downtrend (bear) regimes are investigated using the nonlinear cross-correlation coefficient measures.
京都大学大学院情報学研究科 数理工学専攻
離散数理分野(研究室)の案内
離散数学や組合せ最適化の理論と応用を研究している研究室です.
キーワード:離散数学,組合せ最適化,グラフ理論,オペレーションズリサーチ
http://www-or.amp.i.kyoto-u.ac.jp
Department of Applied Mathematics and Physics,
Graduate School of Informatics, Kyoto University,
Japan