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Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting
Choi, Youngsoo - 2012
The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...
Persistent link: https://www.econbiz.de/10013097543
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Trading Breaks and Asymmetric Information : The Option Markets
Kaplanski, Guy - 2018
We find that weekend, holiday and overnight trading breaks generate excessive perceived risk in the option markets, presumably due to asymmetric information, which, in turn, encourages uninformed option traders to postpone trading. This perceived risk subsides after two days accompanied by an...
Persistent link: https://www.econbiz.de/10012940238
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Skewness in Stock Returns, Periodic Cash Payouts, and Investor Heterogeneity
Albuquerque, Rui A. - 2011
This paper analyzes the asset pricing implications of periodic cash payouts within the context of a stationary rational expectations model with heterogeneous investors. The periodicity of cash payouts provides a natural motivation for time-varying conditional volatility in stock returns. I show...
Persistent link: https://www.econbiz.de/10013134160
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Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets
Ledenyov, Dimitri - 2015
exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …
Persistent link: https://www.econbiz.de/10013013057
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Market Microstructure and the Risks of High-Frequency Trading
Aldridge, Irene - 2013
The current research assesses the risks commonly attributed to the presence of HFT in the context of different market structures deployed by the U.S. exchanges. In particular, we find that, by design, the so-called “normal” exchanges have the lowest market quality, including the highest...
Persistent link: https://www.econbiz.de/10013079007
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Volatility Information in Index Option Demand
Puhan, Tatjana Xenia - 2014
This paper provides evidence that demand for equity index options has predictive power for future volatility beyond current, lagged volatility and the VIX in widely available, low-frequency data. The predictive power increases prior to macroeconomic announcements and exhibits a positive relation...
Persistent link: https://www.econbiz.de/10013063729
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Structural stochastic volatility in asset pricing dynamics : estimation and model contest
Franke, Reiner; Westerhoff, Frank H. - 2011
In the framework of small-scale agent-based financial market models, the paper starts out from the concept of structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and the time-varying market shares of the two groups. It...
Persistent link: https://www.econbiz.de/10009007642
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A Data-Reconstructed Fractional Volatility Model
Mendes, Rui Vilela - 2011
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior are derived from the model and compared with data....
Persistent link: https://www.econbiz.de/10013132290
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Social Interaction, Stochastic Volatility, and Momentum
He, Xuezhong - 2017
Social interaction contributes to stochastic volatility and momentum in financial markets. By developing a simple evolutionary model of asset pricing and population game, we incorporate social interaction among investors with information uncertainty and show that social interaction leads to the...
Persistent link: https://www.econbiz.de/10012963071
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Information Percolation Driving Volatility
Andrei, Daniel - 2012
Sudden big price changes are followed by periods of high and persistent volatility. I develop a tractable dynamic rational expectations model consistent with this observation. An infinity of agents possess dispersed information about future dividends and trade in centralized markets. Information...
Persistent link: https://www.econbiz.de/10013109066