Building on fractional Black-Scholes, this paper draws a connection between option implied Hurst exponent H and current market mood. H comes with several advantages over VIX and survey based sentiment measures, such as a straight forward interpretation (optimistic/pessimistic) or the highly...

Forward-looking correlations are of interest in different financial applications, including factor-based asset pricing, forecasting stock-price movements or pricing index options. With a focus on non-FX markets, this paper defines necessary conditions for option implied correlation matrices to...

This paper discusses how the term-structure of equity implied volatility translates into market expectations for return auto-correlation. The derived measure is a forward-looking metric of return persistence and expected market efficiency. The linkage is built in a non-parametric fashion,...

Heavy tails and volatility clusters are both stylized facts of financial returns that destabilize markets. The former are extreme events by definition and the latter can accelerate adverse market developments. This work disentangles the two sources and examines which one does the greater damage...