Technical paper/Volatility
Forecasting realized volatility with the implied volatility surface: an image-based approach
This paper investigates methods to extract information about an asset’s future risk from the entire implied volatility surface, converting the IVS into a standardized matrix and model it with an image-based approach
Sunny days and market swings: risk assessment in the Indian green venture landscape
Geopolitical shocks and market memory: evidence from crypto and energy assets during the Russo-Ukrainian war
The impact of environmental, social and governance scores on corporate risk: evidence from Chinese listed companies
The unreasonable effectiveness of randomised quasi-Monte Carlo in finance
An analysis of simulation methods shows which works best for Asian options
Forecasting Chinese crude oil futures’ volatility: a heterogeneous volatility spillover-conditional autoregressive range model
This paper offers a new model with which to model and forecast the volatility of Chinese crude oil futures.
Capturing smile dynamics with the quintic volatility model: SPX, SSR and VIX
A new model captures the term structure of SPX & VIX implied volatilities, ATM skew, and the skew-stickiness ratio
An econometric investigation on the stability of stablecoins: are these coins stable or is their stability just a flip of the coin?
The authors investigate the volatility dynamics of US-dollar-backed stablecoins, challenging the assumption of inherent stability using a multilevel econometric framework.
Convex volatility interpolation
The modelling of implied volatility surfaces is reframed as an optimisation problem
Neural networks unleashed: joint SPX/VIX calibration has never been faster
SPX and VIX options can be jointly calibrated in real time with deep neural networks
Analyzing the impact of energy prices on US stock market volatility
Using data from January 1986 to December 2023, the authors explore the time-varying impact of energy prices on the US stock market.
Machine learning in oil market volatility forecasting: the role of feature selection and forecast horizon
This paper investigates oil market volatility prediction, showing financial variables to dominate short-horizon forecasting, while macroeconomic and sentiment factors increase in importance at longer horizons
The crypto Wild West: a deep dive into the market volatility of junk coins versus Bitcoin
The authors assess the volatility of Bitcoin returns versus those of Dogecoin, Shiba Inu and Baby Doge Coin, finding that Bitcoin exhibits lower volatility and is the benchmark cryptoasset.
During a health crisis should you invest in gold or oil?
Employing advanced econometric models, this paper analyzes the volatility behavior of gold and oil prices during the Covid-19 pandemic.
Charting the landscape of short selling: an infometric study shaped by market sentiments
The authors aim to clarify the formulation of short-selling scenarios by providing a comprehensive bibliometric review of research in areas surrounding the topic.
Simulation of Heston made simple
A new way to apply the classic stochastic volatility model is presented
Timing minimum-variance investment in the Canadian stock market
This paper proposes a novel explanation of the variation in idiosyncratic volatility anomaly return and its use in minimum-variance investing in the Canadian stock market.
Examining intersector risk synchronization in the Indian stock market: evidence from a time-varying connectedness approach
The authors investigate volatility spillover across the Covid-19 pandemic, Russia-Ukraine conflict and the collapse of Silicon Valley Bank and demonstrate how different sectors act as shock absorbers and transmitters.
Estimating mean reversions in interest rate models
The speed of factors’ mean reversion in rate models is estimated
The relativity of the fractional Gamma Clock
Bank of America quant expands his Gamma Clock model with a fractional Brownian motion
Option market-making and vol arbitrage
The agent’s view is factored in to a realised-vs-implied vol model
Earnings moves and pre-earnings implied volatility
The authors investigate the relationship between return realizations and pre-earnings implied volatility, finding the distribution of returns over earnings windows to be symmetrical.
Choosing trading strategies using importance sampling
The sampling technique is more efficient than A-B testing at comparing decision rules
Forecasting the Volatility Index with a realized measure, volatility components and dynamic jumps
The authors put forward the REGARCH-2C-Jump model to forecast VIX, with results suggesting that this model can outperform other models in VIX forecasting.