Showing 1 - 10 of 13
In electronic, liquid markets, traders frequently change their positions. The distribution of these trader position changes carries important information about liquidity demand in the market. From this distribution of trader position-changes, we construct a marketwide measure for intraday...
Persistent link: https://www.econbiz.de/10011803199
Using prices of both S&P 500 options and recently introduced VIX options, we study asset pricing implications of …
Persistent link: https://www.econbiz.de/10014121051
cross section of the VIX options, which we call the VVIX index. The tail risk measured by the VVIX index has forecasting …
Persistent link: https://www.econbiz.de/10013074319
We use non-Gaussian features in U.S. macroeconomic data to identify aggregate supply and demand shocks while imposing minimal economic assumptions. Recessions in the 1970s and 1980s were driven primarily by supply shocks, later recessions were driven primarily by demand shocks, and the Great...
Persistent link: https://www.econbiz.de/10011709342
. This approach shows that VIX derivatives carry different information about future variance than S&P 500 (SPX) options … variance discovery process than SPX options. These findings imply that VIX derivatives would offer a better estimate of … expected variance than SPX options, and that a measure of segmentation may be useful for policymakers as it signals the …
Persistent link: https://www.econbiz.de/10012182042
We derive an option-pricing formula from recursive preference and estimate rare disaster probability. The new options …-pricing formula applies to far-out-of-the money put options on the stock market when disaster risk dominates, the size distribution of … options data on the S&P 500 index from 1983-2018 and for analogous indices for other countries. The disaster probability …
Persistent link: https://www.econbiz.de/10012182396
While a rapidly growing body of research underscores the influence of social capital on financial decisions and economic developments, objective data-based measurements of social capital are lacking. We introduce average credit scores as an indicator of a community's social capital and present...
Persistent link: https://www.econbiz.de/10011708125
We study the price pressure and price discovery effects in the U.S. Treasury market by using a term structure model. Our model decomposes yield curve shifts into two components: a virtually permanent change related to order flow and a transitory, price pressure effect due to dealer inventories....
Persistent link: https://www.econbiz.de/10012016240
This paper studies invariance relationships in tick-by-tick transaction data in the U.S. stock market. Over the 1993–2001 period, the estimated monthly regression coefficients of the log of trade arrival rate on the log of trading activity have an almost constant value of 0.666, strikingly...
Persistent link: https://www.econbiz.de/10013210394
We estimate monetary policy surprises (sentiment) from the perspective of three different textual sources: direct central bank communication (FOMC statements and press conferences), news articles, and Twitter posts during FOMC announcement days. Textual sentiment across sources is highly...
Persistent link: https://www.econbiz.de/10014350214