Narrow Results

This paper considers a hybrid risky asset price model given by a constant elasticity of variance multiplied by a stochastic volatility factor. A multiscale analysis leads to an asymptotic pricing formula for both European vanilla option and a Barrier option near the zero elasticity of variance. The accuracy of the approximation is provided in a rigorous manner. A numerical experiment for implied volatilities shows that the hybrid model improves some of the well-known models in view of fitting the data for different maturities.

Singular spectral analysis (SSA) is a non-parametric method used in the prediction of non-stationary time series. It has two parameters, which are difficult to determine and very sensitive to their values. Since, SSA is a deterministic-based method, it does not give good results when the time series is contaminated with a high noise level and correlated noise. Therefore, we introduce a novel method to handle these problems. It is based on the prediction of non-decimated wavelet (NDW) signals by SSA and then, prediction of residuals by wavelet regression. The advantages of our method are the automatic determination of parameters and taking account of the stochastic structure of time series. As shown through the simulated and real data, we obtain better results than SSA, a non-parametric wavelet regression method and Holt–Winters method.

Time irreversibility is an important property of nonequilibrium dynamic systems. A visibility graph approach was recently proposed, and this approach is generally effective to measure time irreversibility of time series. However, its result may be unreliable when dealing with high-dimensional systems. In this work, we consider the joint concept of time irreversibility and adopt the phase-space reconstruction technique to improve this visibility graph approach. Compared with the previous approach, the improved approach gives a more accurate estimate for the irreversibility of time series, and is more effective to distinguish irreversible and reversible stochastic processes. We also use this approach to extract the multiscale irreversibility to account for the multiple inherent dynamics of time series. Finally, we apply the approach to detect the multiscale irreversibility of financial time series, and succeed to distinguish the time of financial crisis and the plateau. In addition, Asian stock indexes away from other indexes are clearly visible in higher time scales. Simulations and real data support the effectiveness of the improved approach when detecting time irreversibility.

The fractional cumulative residual entropy is not only a powerful tool for the analysis of complex system, but also a promising way to analyze time series. In this paper, we present an approach to measure the uncertainty of non-stationary time series named higher-order multiscale fractional cumulative residual entropy. We describe how fractional cumulative residual entropy may be calculated based on second-order, third-order, fourth-order statistical moments and multiscale method. The implementation of higher-order multiscale fractional cumulative residual entropy is illustrated with simulated time series generated by uniform distribution on [0, 1]. Finally, we present the application of higher-order multiscale fractional cumulative residual entropy in logistic map time series and stock markets time series, respectively.

In this study, we propose a multiscale permutation Jensen–Shannon distance (MPJSD) to measure irreversibility of complex time series. The new quantifier is based on symbolic permutation pattern and Jensen–Shannon distance. As an alternative, the new method offers the best characterization of the underlying irreversibility on different scales. The ARFIMA process and three dissipative chaotic systems are used to verify the effectiveness of the new method. The numerical results indicate that the MPJSD can unveil subtle and interesting findings on different scales and the permutation Jensen–Shannon distance (PJSD) is scale-dependent. Furthermore, we apply the approach to detect the multiscale irreversibility of ECG and financial data. The underlying irreversible nature of the investigated series is well discriminated. The method here introduced gives a new way to distinguish different degrees of irreversibility.