Fear, extreme fear and US stock market returns
This paper investigates the multiscale co-movement between the levels and changes in VIX
and SKEW indices and the returns of the S&P 500 market indices at the aggregate and …
and SKEW indices and the returns of the S&P 500 market indices at the aggregate and …
[HTML][HTML] The tail risk safe haven property of China's energy futures against US market implied volatility
This paper analyses the tail risk contagion of US market implied volatility (USIV) on China's
energy futures (CEF) markets, exploring how to utilize operations in the CEF to achieve a …
energy futures (CEF) markets, exploring how to utilize operations in the CEF to achieve a …
Informativeness of truncation in the options market
Truncation—the absence of deep out-of-the-money option price observations—exhibits
significant underlying return predictive and forecasting power. Incorporating truncation into …
significant underlying return predictive and forecasting power. Incorporating truncation into …
Which Way Does the Wind Blow Between SPX Futures and VIX Futures?
The negative correlation between returns and volatility is well known. However, there is no
consensus on whether returns cause changes in volatility or vice versa. In this paper, we …
consensus on whether returns cause changes in volatility or vice versa. In this paper, we …
A GCN-LSTM Approach For ES-Mini And VX Futures Forecasting
We propose a novel data-driven network framework for forecasting problems related to E-
mini S\&P 500 and CBOE Volatility Index futures, in which products with different expirations …
mini S\&P 500 and CBOE Volatility Index futures, in which products with different expirations …
High-frequency lead-lag relationships in the Chinese stock index futures market: tick-by-tick dynamics of calendar spreads
Lead-lag relationships, integral to market dynamics, offer valuable insights into the trading
behavior of high-frequency traders (HFTs) and the flow of information at a granular level …
behavior of high-frequency traders (HFTs) and the flow of information at a granular level …
The stock market impact of volatility hedging: Evidence from end-of-day trading by VIX ETPs
VIX futures market makers can hedge their volatility exposure by trading SPX options and
SPX futures. We use the daily VIX futures demand by VIX ETP issuers as an estimate of the …
SPX futures. We use the daily VIX futures demand by VIX ETP issuers as an estimate of the …
A model for the hedging impact of option market makers
T Kokholm, S Egebjerg - Available at SSRN, 2024 - papers.ssrn.com
We propose a model that embeds the directional price impact of Option Market Makers
(OMMs) delta hedging their option inventory. In extension of existing theoretical …
(OMMs) delta hedging their option inventory. In extension of existing theoretical …
[PDF][PDF] Volatilidade setorial: análise de causalidade e transbordamentos cambiais e financeiros
Este estudo utiliza dados diários dos retornos de sete índices setoriais, do Ibovespa e do
Dólar para análise de transbordamentos de volatilidade por meio de correlações …
Dólar para análise de transbordamentos de volatilidade por meio de correlações …
ESSAYS ON THE ROLE OF SUPPLY AND DEMAND IN OPTION MARKETS
ATT Mai - 2023 - uh-ir.tdl.org
This dissertation consists of three essays. In the first essay, The Role of Intermediaries in
Derivatives Markets: Evidence from VIX Options, co-authored with Kris Jacobs, consistent …
Derivatives Markets: Evidence from VIX Options, co-authored with Kris Jacobs, consistent …