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Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model

The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps the most relevant which makes appear fat tails in the return distributions. This paper wants to go further on with the expOU model we have studied in Ref. 1 by exploring an aspect of practical interest. Having as a benchmark the parameters estimated from the Dow Jones daily data, we want to compute the price for the European option. This is actually done by Monte Carlo, running a large number of simulations. Our main interest is to "see" the effects of a long-range market memory from our expOU model in its subsequent European call option. We pay attention to the effects of the existence of a broad range of time scales in the volatility. We find that a richer set of time scales brings to a higher price of the option. This appears in clear contrast to the presence of memory in the price itself which makes the price of the option cheaper.Comment: 9 pages, 4 figures, APFA5 Torin

Citizen Social Lab: A digital platform for human behaviour experimentation within a citizen science framework

Cooperation is one of the behavioral traits that define human beings, however we are still trying to understand why humans cooperate. Behavioral experiments have been largely conducted to shed light into the mechanisms behind cooperation and other behavioral traits. However, most of these experiments have been conducted in laboratories with highly controlled experimental protocols but with varied limitations which limits the reproducibility and the generalization of the results obtained. In an attempt to overcome these limitations, some experimental approaches have moved human behavior experimentation from laboratories to public spaces, where behaviors occur naturally, and have opened the participation to the general public within the citizen science framework. Given the open nature of these environments, it is critical to establish the appropriate protocols to maintain the same data quality that one can obtain in the laboratories. Here, we introduce Citizen Social Lab, a software platform designed to be used in the wild using citizen science practices. The platform allows researchers to collect data in a more realistic context while maintaining the scientific rigour, and it is structured in a modular and scalable way so it can also be easily adapted for online or brick-and-mortar experimental laboratories. Following citizen science guidelines, the platform is designed to motivate a more general population into participation, but also to promote engaging and learning of the scientific research process. We also review the main results of the experiments performed using the platform up to now, and the set of games that each experiment includes. Finally, we evaluate some properties of the platform, such as the heterogeneity of the samples of the experiments and their satisfaction level, and the parameters that demonstrate the robustness of the platform and the quality of the data collected.Comment: 17 pages, 11 figures and 4 table

Obrint l'Espai

«Ramón Lapierda va inaugurar oficialment el congrés amb una intervenció breu sobre la necessitat de lligar pensament i cultura amb el devenir de la recerca científica&raquo