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- Drop-In Writing Assistance 12:00 pm
- Research Seminar Series: Moeed Yusuf 12:00 pm
- Bioinformatics Sponsored Systems Biology Seminar12:45 pm
- Workshop: How To Work A Career Fair1:00 pm
- IS&T RCS Tutorial - Programming in R2:00 pm
- IS&T RCS Tutorial - Introduction to SAS2:30 pm
- IS&T RCS Tutorial - Introduction to SPSS3:30 pm
- Greek Philosophy Workshop4:00 pm
- Prof. Martin Revermann: "Translators' Prefaces"4:00 pm
- Prof. Martin Revermann: "Translators' Prefaces"4:00 pm
- BU Ethics Seminar: Gerald Vong4:00 pm
- Ethics Seminar- Gerard Vong4:00 pm
- Victoria Barnett Lecture: Rereading Bonhoeffer in History4:00 pm
- Volatility Maxima as a Forecaster of Trading Price Extrema (Gunduz Caginalp-University of Pittsburg)4:00 pm
- Power of Narrative Pop-Up: The Marshall Project5:00 pm
- Mind, Body, and Spirit Yoga5:00 pm
- Linguistics Colloquium: Context-Sensitivity and Count Nouns: The View From Child Language5:30 pm
- Linguistics Colloquium: Context-sensitivity and count nouns: the view from child language5:30 pm
- Haiti's Baron de Vastey and the Black Atlantic6:00 pm
- Haiti's Baron de Vastey and the Black Atlantic6:00 pm
- Haiti’s Baron de Vastey and the Black Atlantic6:00 pm
- Friends Speaker Series: Photojournalist Jonathan Alpeyrie & Casting Director Bonnie Timmermann6:00 pm
- Guest Piano Recital: Yuan Sheng8:00 pm
Volatility Maxima as a Forecaster of Trading Price Extrema (Gunduz Caginalp-University of Pittsburg)
This is joint work with Carey Caginalp. The relationship between price volatility and a market extremum is examined using a fundamental economics model of supply and demand. By examining randomness through a microeconomic setting, we obtain the implications of randomness in the supply and demand, rather than assuming that price has randomness on an empirical basis. Within a very general setting the volatility has a maximum that precedes the extremum of the price. A key issue is that randomness arises from the supply and demand, and the variance in the stochastic differential equation governing the logarithm of price must reflect this. Analogous results are obtained by further assuming that the supply and demand are dependent on the deviation from fundamental value of the asset. The supply/demand approach also shows that fat tails (in particular x^(-2) falloff) are endogenous to the trading mechanism.
When | 4:00 pm to 5:00 pm on Thursday, October 4, 2018 |
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Location | MCS 148, 111 Cummington Street |