Articlegreen2009

Time reversal invariance in finance

86 citations0/0 files storedQuantitative Finance

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

Time reversal invariance (TRI) is a very important concept in science. The idea can be summarized as follows: when a sequence of events is viewed starting from the end, namely with the arrow of tim...

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1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1986Modelling the persistence of conditional variances 1996Turbulent cascades in foreign exchange markets 1996Time Irreversibility and Business Cycle Asymmetry 2003Market heterogeneities and the causal structure of volatility

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2018Assessing Time Series Reversibility through Permutation Patterns 2021From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect 2019The Zumbach effect under rough Heston

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