Related papers: Roughness of the Implied Volatility
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…
We present a neural network based calibration method that performs the calibration task within a few milliseconds for the full implied volatility surface. The framework is consistently applicable throughout a range of volatility models…
We consider a longitudinal data structure consisting of baseline covariates, time-varying treatment variables, intermediate time-dependent covariates, and a possibly time dependent outcome. Previous studies have shown that estimating the…
The covariance between the return of an asset and its realized volatility can be approximated as the difference between two specific implied volatilities. In this paper it is proved that in the small time-to-maturity limit the approximation…
We calculate the realized volatility in the spin model of financial markets and examine the returns standardized by the realized volatility. We find that moments of the standardized returns agree with the theoretical values of standard…
In this paper, we are interested in testing if the volatility process is constant or not during a given time span by using high-frequency data with the presence of jumps and microstructure noise. Based on estimators of integrated volatility…
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…
The advantages of weak measurements, and especially measurements of imaginary weak values, for precision enhancement, are discussed. A situation is considered in which the initial state of the measurement device varies randomly on each run,…
Managing a portfolio to a risk model can tilt the portfolio toward weaknesses of the model. As a result, the optimized portfolio acquires downside exposure to uncertainty in the model itself, what we call "second order risk." We propose a…
We construct a statistical indicator for the detection of short-term asset price bubbles based on the information content of bid and ask market quotes for plain vanilla put and call options. Our construction makes use of the martingale…
We provide explicit small-time formulae for the at-the-money implied volatility, skew and curvature in a large class of models, including rough volatility models and their multi-factor versions. Our general setup encompasses both European…
We investigate statistical properties of vorticity fluctuations in fully developed turbulence, which are known to exhibit a strong intermittent behavior. Taking as the starting point the Navier-Stokes equations with a random force term…
Most current studies estimate the invulnerability of complex networks using a qualitative method that analyzes the inaccurate decay rate of network efficiency. This method results in confusion over the invulnerability of various types of…
Measuring systemic risk or fragility of financial systems is a ubiquitous task of fundamental importance in analyzing market efficiency, portfolio allocation, and containment of financial contagions. Recent attempts have shown that…
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process, in the presence of market microstructure noise (observation error). The multiscale structure of the observed process is represented…
In this article we study the problem of quantifying the uncertainty in an experiment with a technical system. We propose new density estimates which combine observed data of the technical system and simulated data from an (imperfect)…
Composite likelihoods are a class of alternatives to the full likelihood which are widely used in many situations in which the likelihood itself is intractable. A composite likelihood may be computed without the need to specify the full…
The fragility index is a clinically motivated metric designed to supplement the $p$ value during hypothesis testing. The measure relies on two pillars: selecting cases to have their outcome modified and modifying the outcomes. The measure…
The theory of disordered elastic systems is one of the most powerful frameworks to assess the physics of multiple systems that span from ferromagnets to migrating biological cells. In this formalism, one assumes that the system can be…
Non-statistical weak measurements yield weak values that are outside the range of eigenvalues and are not rare, suggesting that weak values are a property of every pre-and-post-selected ensemble. They also extend the applicability and valid…