Processing of high frequency data with risk aversion

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Citations (Scopus)

Abstract

This paper suggests the calculation methodology of univariate and multivariate absolute risk aversion based on asymptotic analysis of conditional expectation and future excess return variance. In the paper we provide modification of the multivariate econometric algorithm on the assumption of weakly time-varying correlation matrices for which the conditions of positive definiteness were received. We prove theorems on relation between risk aversion of shares and futures. Next, concerning risk aversion of various financial instruments with common underlying asset, we defined a time-varying stochastic no-arbitrage interest rate used in Black-Cox credit risk model.

Original languageEnglish
Title of host publicationProceedings - 2012 7th International Forum on Strategic Technology, IFOST 2012
DOIs
Publication statusPublished - 2012
Event2012 7th International Forum on Strategic Technology, IFOST 2012 - Tomsk, Russian Federation
Duration: 18 Sep 201221 Sep 2012

Other

Other2012 7th International Forum on Strategic Technology, IFOST 2012
CountryRussian Federation
CityTomsk
Period18.9.1221.9.12

Keywords

  • Black-Cox credit risk model
  • risk aversion
  • stochastic no-arbitrage interest rate

ASJC Scopus subject areas

  • Management of Technology and Innovation

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  • Cite this

    Kritski, O. L. (2012). Processing of high frequency data with risk aversion. In Proceedings - 2012 7th International Forum on Strategic Technology, IFOST 2012 [6357629] https://doi.org/10.1109/IFOST.2012.6357629