# Financial Time Series Analysis of SV Model by Hybrid Monte Carlo

@inproceedings{Takaishi2008FinancialTS, title={Financial Time Series Analysis of SV Model by Hybrid Monte Carlo}, author={Tetsuya Takaishi}, booktitle={International Conference on Intelligent Computing}, year={2008} }

We apply the hybrid Monte Carlo (HMC) algorithm to the financial time sires analysis of the stochastic volatility (SV) model for the first time. The HMC algorithm is used for the Markov chain Monte Carlo (MCMC) update of volatility variables of the SV model in the Bayesian inference. We compute parameters of the SV model from the artificial financial data and compare the results from the HMC algorithm with those from the Metropolis algorithm. We find that the HMC decorrelates the volatility…

## 8 Citations

### Bayesian Inference of Stochastic volatility Model by Hybrid Monte Carlo

- Computer Science, EconomicsJ. Circuits Syst. Comput.
- 2009

An empirical study for the time series of the Nikkei 225 stock index by the HMC algorithm finds the similar correlation behavior for the sampled data to the results from the artificial financial data and obtains a $\phi$ value close to one, which means that the timeseries has the strong persistency of the volatility shock.

### Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm

- Economics
- 2013

The stochastic volatility model is one of volatility models which infer latent volatility of asset returns. The Bayesian inference of the stochastic volatility (SV) model is performed by the hybrid…

### Bayesian estimation of realized stochastic volatility model by Hybrid Monte Carlo algorithm

- Computer Science
- 2014

It is concluded that the HMCA with the 2nd order minimum norm integrator (2MNI) is an efficient algorithm for parameter estimations of the RSV model.

### GPU Computing in Bayesian Inference of Realized Stochastic Volatility Model

- Computer Science
- 2015

This work considers the Bayesian inference of the RSV model by the Hybrid Monte Carlo (HMC) algorithm, which can be parallelized and thus performed on the GPU for speedup and finds that the GPU can be up to 17 times faster than the CPU.

### Dimensionally Tight Running Time Bounds for Second-Order Hamiltonian Monte Carlo

- Mathematics, Computer ScienceArXiv
- 2018

This result improves upon a recent result and introduces a new regularity condition for the Hessian that may be of independent interest and compares favorably with the best available running time bounds for the class of strongly log-concave distributions.

### Status and future perspectives for lattice gauge theory calculations to the exascale and beyond

- PhysicsThe European Physical Journal A
- 2019

In this and a set of companion white papers, the USQCD Collaboration lays out a program of science and computing for lattice gauge theory. These white papers describe how calculation using Lattice…

### Status and future perspectives for lattice gauge theory calculations to the exascale and beyond

- PhysicsThe European Physical Journal A
- 2019

Abstract.In this and a set of companion white papers, the USQCD Collaboration lays out a program of science and computing for lattice gauge theory. These white papers describe how calculation using…

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