" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …

Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the … underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility … significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option …

-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable …

We perform an experimental study of complexity to assess its effect on trading behavior, price volatility, liquidity …. Complexity altered subjects' bidding strategies, decreased liquidity, increased price volatility, and decreased trade efficiency … complex treatment. Our analysis suggests that complexity may be a driver of volatility and liquidity in financial markets and …

tests of market timing ability that bypass beta estimation problems. Assuming that different letters cater to investors with … about both market volatility and trading activity …

We show that firms' idiosyncratic volatility obeys a strong factor structure and that shocks to the common factor in … idiosyncratic volatility (CIV) are priced. Stocks in the lowest CIV-beta quintile earn average returns 5.4% per year higher than … heterogeneous-agent model. In the model, CIV is a priced state variable because an increase in idiosyncratic firm volatility raises …