We analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic processes. The main focus of the paper is on a model where the price vectors are independent and identically distributed. In the framework of this model, we find conditions that...

What is the market impact of predictable order flow? Leveraged exchange-traded products are useful for answering this question because they generate daily rebalancing flows whose size, sign and timing are predictable. This paper presents new evidence from the market for leveraged volatility...

Following the 2004 introduction of VIX futures, they have become an increasingly important hedging instrument and aid for portfolio diversification. We examine changes in the futures basis which, owing to their unique characteristics, can be interpreted as changes in expectations of future VIX...

Bitcoin has attracted a wealth of attention in the media and by investors alike and this paper investigates whether Bitcoin can act as a hedge or safe-haven against world currencies. Contrary to previous studies, we assess the relationship between Bitcoin and currencies at the hourly frequency...

At the dawn of a potential rise in rates triggered by Central Banks in both Europe and the United States, doubts are being raised about the ability of low-volatility portfolios to continue to deliver robust performance. We quantify this latent performance lag and provide empirical explanations,...

We study how investors use financial securities to speculate on the decrease of house prices. Unlike most asset types, houses are subject to high trading frictions and cannot be sold short. Using U.S. data from 2006 to 2013, we find evidence that an increase in the short selling activity of real...

While many studies analyze the impact of scheduled macroeconomic announcements on equity market volatility, few focus on the impact on option implied volatilities. In this study, we examine the link between German and U.S. macroeconomic events and the implied volatility indices VDAX and VIX. We...

We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in the 10-day window before future earnings announcements. The average of risk-adjusted return differences between stocks with the highest earnings announcement idiosyncratic...

This paper examines the relationship between volatility and the probability of occurrence of expected extreme returns in the Canadian market. Four measures of volatility are examined: implied volatility from firm option prices, conditional volatility calculated using an EGARCH model,...

We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised of two option positions (one long and one short) and a position in the underlying stock. The assets are created such that exposure to changes in the price of the underlying stock...