We fit U.S. stock market volatilities on macroeconomic and financial market indicators and some industry level financial ratios. Stock market volatility is non-Gaussian distributed. It can be approximated by an inverse Gaussian (IG) distribution or it can be transformed by Box-Cox transformation...

We propose and estimate a model of endogenous informed trading that is a hybrid of the PIN and Kyle models. When an informed trader trades optimally, both returns and order flows are needed to identify information asymmetry parameters. Empirical relationships between parameter estimates and...

Heterogeneity in beliefs and time preferences among investors makes stock volatility stochastic, even though the volatility of the underlying dividend is constant. The prices of the European options written on this stock admit closed-form solutions, hence their hedging deltas. The Black-Scholes...