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Weighted‑indexed semi‑Markov model:calibration and application to financial modeling

Financial Innovation 2023年第1期9卷 916-931页

作者： riccardo de blasis department of Management Marche Polytechnic UniversityAnconaItaly

We address the calibration issues of the weighted-indexed semi-Markov chain(WISMC)model applied to high-frequency financial ***,we propose to automate the discretization of the price returns and the volatility index by using four different approaches,two based on statistical quantities,namely,the quantile and sigma discretization,and two derived by the application of two popular machine learning algorithms,namely the k-means and Gaussian mixture model(GMM).Moreover,by comparing the Bayesian information criterion(BIC)scores,the GMM approach allows for the selection of the number of states of returns and *** application to Bitcoin prices at 1-min and 1-s intervals shows the validity and usefulness of the proposed discretization *** particular,GMM discretization is well suited for highfrequency returns,whereas the quantile approach works better for low-frequency ***,by comparing the results of the Monte Carlo simulation,we show that the WISMC model,applied with the proposed discretization,can reproduce the longrange serial correlation of the squared returns,which is typical of the financial markets and,in particular,the cryptocurrency market.

关键词： Semi-Markov WISMC Bitcoin EWMA k-means GMM

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Intelligent design:stablecoins(in)stability and collateral during market turbulence

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Financial Innovation 2023年第1期9卷 2454-2476页

作者： riccardo de blasis Luca Galati Alexander Webb Robert I.Webb department of Management Marche Polytechnic UniversityVia Lodovico Menicucci 660121 AnconaANItaly School of Business University of WollongongNorthfields Ave2522 WollongongNSWAustralia derivatives Markets Research Centre Rozetta Institute55 Harrington St2000 SydneyNSWAustralia department of Economics University of MoliseVia Francesco De Sanctis86100 CampobassoCBItaly McIntire School of Commerce University of Virginia140 Hospital Drive22903 CharlottesvilleVAUSA

How does stablecoin design affect market behavior during turbulent periods?Stable-coins attempt to maintain a“stable”peg to the US dollar,but do so with widely varying structural *** spectacular collapse of the TerraUSD(UST)stablecoin and the linked Terra(LUNA)token in May 2022 precipitated a series of reactions across major stablecoins,with some experiencing a fall in value and others gaining *** a Baba,Engle,Kraft and Kroner(1990)(BEKK)model,we examine the reaction to this exogenous shock and find significant contagion effects from the UST collapse,likely partially due to herding behavior among *** test the varying reactions among stablecoins and find that stablecoin design differences affect the direction,magnitude,and duration of the response to *** discuss the implications for stablecoin developers,exchanges,traders,and regulators.

关键词： Stablecoins Herding Information cascades Volatility spillovers Market crashes Financial contagion

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