Related papers: Implied and Realized Volatility: A Study of Distri…
In this study, we predict next-day movements of stock end-of-day implied volatility using random forests. Through an ablation study, we examine the usefulness of different sources of predictors and expose the value of attention and…
Implied volatilities form a well-known structure of smile or surface which accommodates the Bachelier model and observed market prices of interest rate options. For the swaptions that we study, three parameters are taken into account for…
Most machine learning models operate under the assumption that the training, testing and deployment data is independent and identically distributed (i.i.d.). This assumption doesn't generally hold true in a natural setting. Usually, the…
We calculate realized volatility of the Nikkei Stock Average (Nikkei225) Index on the Tokyo Stock Exchange and investigate the return dynamics. To avoid the bias on the realized volatility from the non-trading hours issue we calculate…
We formulate and analyze an inverse problem using derivatives prices to obtain an implied filtering density on volatility's hidden state. Stochastic volatility is the unobserved state in a hidden Markov model (HMM) and can be tracked using…
Albeit of crucial interest for both financial practitioners and researchers, market-implied volatility data of European swaptions often exhibit large portions of missing quotes due to illiquidity of the various underlying swaption…
This paper introduces a unified parametric modeling approach for time-varying market betas that can accommodate continuous-time diffusion and discrete-time series models based on a continuous-time series regression model to better capture…
We propose a robust hypothesis testing procedure for the predictability of multiple predictors that could be highly persistent. Our method improves the popular extended instrumental variable (IVX) testing (Phillips and Lee, 2013; Kostakis…
This paper studies the joint role of long-memory dynamics,rough-volatility behavior, and persistence-based forecasting features in equity volatility modeling. We combine semiparametric long-memory estimation, rough-volatility diagnostics,…
The mathematical properties of a family of generalized beta distribution, including beta-normal, skewed-t, log-F, beta-exponential, beta-Weibull distributions have recently been studied in several publications. This paper applies these…
In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, options on its implied volatility index (VIX). This created the challenge of developing a pricing framework that can…
This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility…
In this paper we consider the simulation-based Bayesian analysis of stochastic volatility in mean (SVM) models. Extending the highly efficient Markov chain Monte Carlo mixture sampler for the SV model proposed in Kim et al. (1998) and Omori…
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 Monte Carlo (HMC) algorithm which is…
Working on different aspects of algorithmic trading we empirically discovered a new market invariant. It links together the volatility of the instrument with its traded volume, the average spread and the volume in the order book. The…
A Bayesian procedure is developed for multivariate stochastic volatility, using state space models. An autoregressive model for the log-returns is employed. We generalize the inverted Wishart distribution to allow for different correlation…
We investigate the variety of a portfolio of stocks in normal and extreme days of market activity. We show that the variety carries information about the market activity which is not present in the single-index model and we observe that the…
In a model driven by a multi-dimensional local diffusion, we study the behavior of implied volatility {\sigma} and its derivatives with respect to log-strike k and maturity T near expiry and at the money. We recover explicit limits of these…
This paper investigates how realized and option implied volatilities are related to the future quantiles of commodity returns. Whereas realized volatility measures ex-post uncertainty, volatility implied by option prices reveals the…
We discuss a bivariate beta distribution that can model arbitrary beta-distributed marginals with a positive correlation. The distribution is constructed from six independent gamma-distributed random variates. We show how the parameters of…