Related papers: Roughness of the Implied Volatility
In this study, we constructed daily high-frequency sentiment data and used the VAR method to attempt to predict the next day's implied volatility surface. We utilized 630,000 text data entries from the East Money Stock Forum from 2014 to…
General turbulent mean statistics are shown to be characterized by a variational principle. The variational functionals, or ``effective actions'', have experimental consequences for turbulence fluctuations and are subject to realizability…
The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. In this Letter, we propose to verify the inversion formula using high-frequency…
Recently, an indicator for stock market fragility and crash size in terms of the Ollivier-Ricci curvature has been proposed. We study analytical and empirical properties of such indicator, test its elasticity with respect to different…
Weak measurements with imaginary weak values are reexamined in light of recent experimental results. The shift of the meter, due to the imaginary part of the weak value, is derived via the probability of postselection, which allows…
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked…
Introducing accelerated reconstruction algorithms into clinical settings requires measures of uncertainty quantification that accurately assess the relevant uncertainty introduced by the reconstruction algorithm. Many currently deployed…
In this paper we show that Hilbert space-valued stochastic models are robust with respect to perturbation, due to measurement or approximation errors, in the underlying volatility process. Within the class of stochastic volatility modulated…
The objective of reliability sensitivity analysis is to determine input variables that mostly contribute to the variability of the failure probability. In this paper, we study a recently introduced method for the reliability sensitivity…
Combining measurements which have "theoretical uncertainties" is a delicate matter, due to an unclear statistical basis. We present an algorithm based on the notion that a theoretical uncertainty represents an estimate of bias.
The variance of an observable in a pre-selected quantum system, which is always real and non-negative, appears as an increase in the probe wave packet width in indirect measurements. Extending this framework to pre- and post-selected…
Motivated by empirical evidence from the joint behavior of realized volatility time series, we propose to model the joint dynamics of log-volatilities using a multivariate fractional Ornstein-Uhlenbeck process. This model is a multivariate…
In the presence of model risk, it is well-established to replace classical expected values by worst-case expectations over all models within a fixed radius from a given reference model. This is the "robustness" approach. We show that…
Econophysics and econometrics agree that there is a correlation between volume and volatility in a time series. Using empirical data and their distributions, we further investigate this correlation and discover new ways that volatility and…
Market liquidity plays a vital role in the field of market micro-structure, because it is the vigor of the financial market. This paper uses a variable called convexity to measure the potential liquidity provided by order-book. Based on the…
This paper examines how shocks to currency volatilities predict exchange rates. Using option-implied volatilities, we construct a dynamic, directed network of volatility connections. Currencies that transmit more volatility shocks, which…
In this paper, we develop a general rough volatility model for commodities that provides an automatic calibration of the initial term structure of the futures prices and an appropriate treatment of the Samuelson effect. After the…
In this paper we study the volatility and its probability distribution function for the cumulative production based on the experience curve hypothesis. This work presents a generalization of the study of volatility in [1], which addressed…
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 analyze the VIX futures market with a focus on the exchange-traded notes written on such contracts, in particular we investigate the VXX notes tracking the short-end part of the futures term structure. Inspired by recent developments in…