decomposing realized volatility in its continuous and discontinuous jump component. First, we analyze the relation between … volatility and trading activity. Coherent with existing studies we find that the driving factor of the relation between … Data ; Realized Volatility ; Price Jump ; Trading Activity ; Urgent Market Message …

volatility impact of DAX futures trading. Our results confirm a volatility-reducing impact of DAX futures trading, whereas the … stability ; financial market volatility ; GARCH ; stock index futures ; derivatives …

, and credit default swaps. Following the disaster BP shares dropped more than 50 percent in value, with high volatility. BP … share trading volume increased thirteen-fold, and option trading volume increased twenty-fold. The implied volatility of BP …

stability. A case in point is the abrupt market crash of short volatility strategies on February 5th 2018. In this paper, we …

volatility surface. The rapid development of the CDS market has provided convenient products to extract credit risk, and its … interaction with equity volatility has been analyzed in many studies. However, in most of them the 5-year credit default swap … spread is used to measure credit risk, whilst the at-the-money 1-month implied volatility is used to measure equity …

In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find … evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …

issues. Options and futures on corporate securities can be evaluated using the firm's common stock price and its volatility …