Financial Econometrics and Empirical Market Microstructure


The website www. rogovindex. com was created in 2012-2013 to allow for viewing and, if desired, exporting into spreadsheet files the history of hourly, daily, weekly, monthly, or annual (the user may choose to define time zone lag) quotations of global risk factor indices, starting from January 1, 1957 at 1:00 a. m. (GMT).

A market of space weather index derivatives (Hyman (2001), (Rogov 2002) could be developed. For example, the RogovIndex© indices may be used as base assets for new index forwards and options. For this purpose, the website enables the users to build up portfolios of any combination of derivatives and offers analysis tools.

Already, every user of the website can upload to the database his or her own time series of any risk frequency indicators. The users can visually compare their dynamics with that of the RogovIndex© and with other series from this database, updated by the author with various time series of risk indicators (accident rate, failures rate, default rate, volatility, etc.) from publicly available sources. They can compare data of other website users with their own data (the users can set permissions for public access of their data).

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Financial Econometrics and Empirical Market Microstructure

Modeling Financial Market Using Percolation Theory

Anastasiya Byachkova and Artem Simonov Abstract Econophysics is a relatively new discipline. It is one of the most interesting and promising trends in modeling complex economic systems such as financial …

Multifractal Formalism for Stochastic Processes

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Adaptive Learning

Risk management is a core discipline in a rapidly changing world. From finance to ecology, we face unprecedented systemic risks from increasingly coupled global systems. Non-linearities render long term predictions …

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