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...

This paper explains in non-technical terms various techniques used to measure volatility ranging from time invariant measures to time variant measures. It is shown that a weakness of the former measures arises from the underlying assumption that volatility is considered to be constant over time....

By investigating currency futures options, this paper provides an alternative economic implication for the result reported by Stein [Overreactions in the options market, Journal of Finance 44 (1989) 1011–1023] that long-maturity options tend to overreact to changes in the implied volatility of...

An approximate formula for the Black–Scholes implied volatility is given by means of an asymptotic representation of the Black–Scholes formula. This representation is based on a variable change that reduces the number of meaningful variables from five to three. It is stated clearly which is...

This paper examines the accuracy of implied volatility and GARCH forecasted volatility to predict the behavior of realized volatility. The methodology adopted addresses the information content, the bias, the efficiency and the efficiency forecast of the predictor.

Data of seven meteorological variables (relative humidity, wet temperature, dry temperature, maximum temperature, minimum temperature, ground temperature and sun radiation time) and ozone values have been used for statistical analysis. Meteorological variables and ozone values were analyzed...

Understanding of human mobility in urban space benefits the planning and provision of municipal facilities and services. Due to the high penetration of cell phones, mobile cellular networks provide information for urban dynamics with a large spatial extent and continuous temporal coverage in...

A synaptic connectivity model is assembled on a spiking neuron network aiming to build up a dynamic pattern recognition system. The connection architecture includes gap junctions and both inhibitory and excitatory chemical synapses based on Hebb’s hypothesis. The network evolution resulting...

We introduce a new method to perform textural segmentation by mean of generalized multifractal analysis. This method can be applied to any signal or measure, self-similar or not. The main idea is to expand the log-generating function Φq(x) on a collection of basis functions denoted by Ψq,n(x)....

A method based on the classical principal component analysis leads to demonstrate that the role of co-authors should give a h-index measure to a group leader higher than usually accepted. The method rather easily gives what is usually searched for, i.e. an estimate of the role (or “weight”)...