Kim, Min Jae; Lee, Sun Young; Hwang, Dong Il; Kim, Soo Yong - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 14, pp. 2762-2769
We analyze the dynamics of the implied volatility surface of KOSPI 200 futures options from random matrix theory. To … extract the informative data, we use random matrix criteria. Implied volatility data have a colossal eigenvalue, and the order … of eigenvalues in a noisy regime is distinguishably smaller than a random matrix theory prediction. We discern the …