Comparisons are made of the CBOE skew index with those derived from parametric skews of bilateral gamma models and from the differentiation of option implied characteristic exponents. Discrepancies may be attributed to strike discretization in evaluating prices of powered returns. The remedy...

Market efficiency is measured by arbitrage proximity. The magnitude of probability distortion necessary to remove drift calibrates the efficiency. Simulations of bilateral gamma models estimated on a year's past returns yield empirical acceptability indices for each day for each asset. The...

Representing continuously compounded returns by their four bilateral gamma parameter estimates a multiclass classification support vector machine is trained on a sample less than one percent of the data to predict the asset class. The asset classes considered are equities, volatility,...