Technical paper/Volatility
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.
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.
Bridging the gap risk reloaded: modelling wrong-way risk and leverage
A model extends the counterparty risk calculation to include nonlinear and complex portfolios
Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk
The authors put forward a new means to integrate volatility information in the estimation of value-at-risk and conditional value-at-risk which is shown to be effective in risk estimation during volatile market conditions.
Does investors’ sentiment influence stock market volatility? Evidence from India during pre- and post-Covid-19 periods
The authors use data from during the Covid-19 pandemic to investigate the impact of investor sentiment on equity market volatility, finding negative news to have a stronger impact that positive news of the same magnitude.
Examining sustainability investments and financial performance of football clubs: an empirical analysis
The authors investigate how sustainability investments, financial leverage and growth rates impact the stock rate returns of football clubs.
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
Infrequent MtM reduces neither value-at-risk nor backtesting exceptions
Frequency of repricing impacts volatility and correlation measures
Neural joint S&P 500/VIX smile calibration
A one-factor stochastic local volatility model can solve the joint calibration problem
Analytic risk-free rates option pricing with smile and skew
An arbitrage-free short-rate model for backward-looking compounded rates is presented
Smile-consistent basket skew
An analytic approximation for the implied volatility surface of basket options is introduced
A robust stochastic volatility model for interest rates
A swaption pricing model based on a single-factor Cheyette model is shown to fit accurately