In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a xed future date. The construction of these measures is based on the...

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...

We introduce a new and easy-to-calculate measure for the expected degree of herd behavior or co-movement between stock prices. This forward looking measure is model-independent and based on observed option data. It is baptized the Herd Behavior Index (HIX).The degree of co-movement in a stock...

In this paper we consider the problem of deriving correlation estimates from observed option data. An implied correlation estimate arises when we match the observed index option price with a corresponding model price. The underlying model assumes that stock prices can be described using a...

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date.The construction of these measures is based on the...