the arrival rates of trades and trade composition on market volatility, liquidity and depth. We find that although … volatility increases with the forecasted arrival rates of total trades, it is relatively independent of the forecasted … composition of the trade. We use the opening bid-ask spread as a measure of market liquidity. We find that as the number of trades …

vary by strike price (volatility smiles) and maturity (implied volatility of at­the­money options increases, on average … logarithm of the price of the underlying security. In this setting, volatility is approximately a quadratic function of … moneyness, a result we use to infer skewness and kurtosis from volatility smiles. Evidence suggests that both kurtosis in …

on the specification of the volatility structure of forward rates. Thus, if any errors exist on the observed yield curve … the cap implied volatility. Incorporating the three residual factors improves the explained variance in cap implied … volatility to over 95 percent. We investigate the reasons behind the ``amplification'' of yield curve residuals in pricing …

A market is considered whose index has strongly price-dependent local volatility. A tractable parametrization of the … volatility is formulated, and option valuation of a stock with two-factor dynamics is investigated. One factor is the market … a set of calls were fitted with a one-factor implied volatility, the calls could not be hedged solely with an offsetting …

of the volatility skew. We get severe mispricing for deep out- of-the-money and short term call options, which tend to … regime in the implied volatility surface judging from the transformation observed from smiles to skews. …

implied market factor and its instantaneous return’s volatility are leptokurtic distributed. Having a proxy for the systematic … the prevailing relationship between the weekly rolling volatility of the return of the implied market factor and weekly …

the possible reduction of the internal process Boltzmann entropy and increase of external Shannon entropy of each …

explained by a new information theory generalized from Shannon’s entropy theory of information. Investor performance and market …