{"id":"https://openalex.org/W2901501047","doi":"https://doi.org/10.3390/a11110185","title":"An Algorithmic Look at Financial Volatility","display_name":"An Algorithmic Look at Financial Volatility","publication_year":2018,"publication_date":"2018-11-13","ids":{"openalex":"https://openalex.org/W2901501047","doi":"https://doi.org/10.3390/a11110185","mag":"2901501047"},"language":"en","primary_location":{"id":"doi:10.3390/a11110185","is_oa":true,"landing_page_url":"https://doi.org/10.3390/a11110185","pdf_url":"https://www.mdpi.com/1999-4893/11/11/185/pdf?version=1542871078","source":{"id":"https://openalex.org/S190629608","display_name":"Algorithms","issn_l":"1999-4893","issn":["1999-4893"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Algorithms","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://www.mdpi.com/1999-4893/11/11/185/pdf?version=1542871078","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100324184","display_name":"Lin Ma","orcid":"https://orcid.org/0000-0002-9491-7789"},"institutions":[{"id":"https://openalex.org/I2279609970","display_name":"Universit\u00e9 de Lille","ror":"https://ror.org/02kzqn938","country_code":"FR","type":"education","lineage":["https://openalex.org/I2279609970"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Lin Ma","raw_affiliation_strings":["Department of Finance, University of Lille, 59043 Lille, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, University of Lille, 59043 Lille, France","institution_ids":["https://openalex.org/I2279609970"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5016986024","display_name":"Jean-Paul Delahaye","orcid":"https://orcid.org/0000-0002-8758-9908"},"institutions":[{"id":"https://openalex.org/I2279609970","display_name":"Universit\u00e9 de Lille","ror":"https://ror.org/02kzqn938","country_code":"FR","type":"education","lineage":["https://openalex.org/I2279609970"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Jean-Paul Delahaye","raw_affiliation_strings":["Department of Computer Sciences, University of Lille, 59650 Villeneuve d\u2019ascq, France","Department of Computer Sciences, University of Lille, 59650 Villeneuve d'ascq, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computer Sciences, University of Lille, 59650 Villeneuve d\u2019ascq, France","institution_ids":["https://openalex.org/I2279609970"]},{"raw_affiliation_string":"Department of Computer Sciences, University of Lille, 59650 Villeneuve d'ascq, France","institution_ids":["https://openalex.org/I2279609970"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5100324184"],"corresponding_institution_ids":["https://openalex.org/I2279609970"],"apc_list":{"value":1600,"currency":"CHF","value_usd":1782},"apc_paid":{"value":672,"currency":"EUR","value_usd":724},"fwci":1.4531,"has_fulltext":false,"cited_by_count":4,"citation_normalized_percentile":{"value":0.88168234,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"11","issue":"11","first_page":"185","last_page":"185"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9959999918937683,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9959999918937683,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9527999758720398,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9068999886512756,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility-clustering","display_name":"Volatility clustering","score":0.806442379951477},{"id":"https://openalex.org/keywords/stylized-fact","display_name":"Stylized fact","score":0.7467068433761597},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.7298451662063599},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.561924159526825},{"id":"https://openalex.org/keywords/autocorrelation","display_name":"Autocorrelation","score":0.5445906519889832},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.512519359588623},{"id":"https://openalex.org/keywords/cluster-analysis","display_name":"Cluster analysis","score":0.45812591910362244},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4340503513813019},{"id":"https://openalex.org/keywords/financial-models-with-long-tailed-distributions-and-volatility-clustering","display_name":"Financial models with long-tailed distributions and volatility clustering","score":0.43201449513435364},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4299369752407074},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.3434886038303375},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3365169167518616},{"id":"https://openalex.org/keywords/forward-volatility","display_name":"Forward volatility","score":0.2728220522403717},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.18949255347251892}],"concepts":[{"id":"https://openalex.org/C2776142675","wikidata":"https://www.wikidata.org/wiki/Q7939999","display_name":"Volatility clustering","level":4,"score":0.806442379951477},{"id":"https://openalex.org/C38935604","wikidata":"https://www.wikidata.org/wiki/Q4330363","display_name":"Stylized fact","level":2,"score":0.7467068433761597},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7298451662063599},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.561924159526825},{"id":"https://openalex.org/C5297727","wikidata":"https://www.wikidata.org/wiki/Q786970","display_name":"Autocorrelation","level":2,"score":0.5445906519889832},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.512519359588623},{"id":"https://openalex.org/C73555534","wikidata":"https://www.wikidata.org/wiki/Q622825","display_name":"Cluster analysis","level":2,"score":0.45812591910362244},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4340503513813019},{"id":"https://openalex.org/C89218465","wikidata":"https://www.wikidata.org/wiki/Q5449732","display_name":"Financial models with long-tailed distributions and volatility clustering","level":5,"score":0.43201449513435364},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4299369752407074},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.3434886038303375},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3365169167518616},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.2728220522403717},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.18949255347251892},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.3390/a11110185","is_oa":true,"landing_page_url":"https://doi.org/10.3390/a11110185","pdf_url":"https://www.mdpi.com/1999-4893/11/11/185/pdf?version=1542871078","source":{"id":"https://openalex.org/S190629608","display_name":"Algorithms","issn_l":"1999-4893","issn":["1999-4893"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Algorithms","raw_type":"journal-article"},{"id":"pmh:oai:HAL:hal-03682236v1","is_oa":false,"landing_page_url":"https://hal.science/hal-03682236","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Algorithms, 2018, 11 (11), pp.185. &#x27E8;10.3390/a11110185&#x27E9;","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:RePEc:hal:journl:hal-03682236","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:doaj.org/article:7ba19c4ca52e4dcd8518bd317e4a31f6","is_oa":true,"landing_page_url":"https://doaj.org/article/7ba19c4ca52e4dcd8518bd317e4a31f6","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Algorithms, Vol 11, Iss 11, p 185 (2018)","raw_type":"article"},{"id":"pmh:oai:mdpi.com:/1999-4893/11/11/185/","is_oa":true,"landing_page_url":"http://dx.doi.org/10.3390/a11110185","pdf_url":null,"source":{"id":"https://openalex.org/S4306400947","display_name":"MDPI (MDPI AG)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210097602","host_organization_name":"Multidisciplinary Digital Publishing Institute (Switzerland)","host_organization_lineage":["https://openalex.org/I4210097602"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Algorithms","raw_type":"Text"}],"best_oa_location":{"id":"doi:10.3390/a11110185","is_oa":true,"landing_page_url":"https://doi.org/10.3390/a11110185","pdf_url":"https://www.mdpi.com/1999-4893/11/11/185/pdf?version=1542871078","source":{"id":"https://openalex.org/S190629608","display_name":"Algorithms","issn_l":"1999-4893","issn":["1999-4893"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Algorithms","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W2901501047.pdf"},"referenced_works_count":23,"referenced_works":["https://openalex.org/W1574049752","https://openalex.org/W1722330619","https://openalex.org/W1913123228","https://openalex.org/W1976913929","https://openalex.org/W1979575715","https://openalex.org/W1986788466","https://openalex.org/W1992958898","https://openalex.org/W1999996900","https://openalex.org/W2029308360","https://openalex.org/W2031796872","https://openalex.org/W2033405512","https://openalex.org/W2071095126","https://openalex.org/W2090637028","https://openalex.org/W2100011707","https://openalex.org/W2116300733","https://openalex.org/W2128726101","https://openalex.org/W2486563685","https://openalex.org/W2582697902","https://openalex.org/W2963123289","https://openalex.org/W3098035725","https://openalex.org/W3122175640","https://openalex.org/W3125113634","https://openalex.org/W3125246470"],"related_works":["https://openalex.org/W3125360864","https://openalex.org/W4388902544","https://openalex.org/W2024616011","https://openalex.org/W2350361222","https://openalex.org/W2531172836","https://openalex.org/W3123893382","https://openalex.org/W4387969022","https://openalex.org/W1997162779","https://openalex.org/W196174866","https://openalex.org/W2789583818"],"abstract_inverted_index":{"In":[0],"this":[1],"paper,":[2],"we":[3],"attempt":[4],"to":[5,10,69,80,117,123],"give":[6],"an":[7],"algorithmic":[8],"explanation":[9],"volatility":[11,111,141],"clustering,":[12],"one":[13],"of":[14,51,58,132,140],"the":[15,124,138],"most":[16],"exploited":[17],"stylized":[18],"facts":[19],"in":[20],"finance.":[21],"Our":[22],"analysis":[23],"with":[24,56],"daily":[25],"data":[26,134],"from":[27,147],"five":[28],"exchanges":[29],"shows":[30],"that":[31,57],"financial":[32,133],"volatilities":[33,76,145],"follow":[34],"Levin\u2019s":[35,70],"universal":[36,71],"distribution":[37],"Kirchherr":[38],"et":[39,65],"al.":[40,66],"(1997)":[41],"once":[42],"transformed":[43,156],"into":[44,157],"equally":[45],"proportional":[46],"binary":[47,52,160],"strings.":[48,129],"Frequency":[49],"ranking":[50],"trading":[53,90],"weeks":[54,91],"coincides":[55],"their":[59],"Kolmogorov":[60],"complexity":[61,125],"estimated":[62],"by":[63,83],"Delahaye":[64],"(2012).":[67],"According":[68],"distribution,":[72],"large":[73,84],"(resp.":[74,85],"small)":[75,86],"are":[77,97],"more":[78,99],"likely":[79],"be":[81,115,136,155],"followed":[82],"ones":[87,104],"since":[88],"simple":[89],"such":[92,105],"as":[93,106],"\u201c00000\u201d":[94],"or":[95,108,119],"\u201c11111\u201d":[96],"much":[98],"frequently":[100],"observed":[101],"than":[102],"complex":[103],"\u201c10100\u201d":[107],"\u201c01011\u201d.":[109],"Thus,":[110],"clusters":[112],"may":[113],"not":[114],"attributed":[116],"behavioral":[118],"micro-structural":[120],"assumptions":[121],"but":[122],"discrepancy":[126],"between":[127],"finite":[128],"This":[130],"property":[131],"could":[135],"at":[137],"origin":[139],"autocorrelation,":[142],"though":[143],"autocorrelated":[144],"simulated":[146],"Generalized":[148],"Auto-Regressive":[149],"Conditional":[150],"Heteroskedacity":[151],"(hereafter":[152],"GARCH)":[153],"cannot":[154],"universally":[158],"distributed":[159],"weeks.":[161]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2019,"cited_by_count":2}],"updated_date":"2026-07-23T08:03:31.855105","created_date":"2025-10-10T00:00:00"}
