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Volatility and efficiency in markets with friction
2010 48th Annual Allerton Conference on Communication, Control, and Computing (Allerton), 2010We consider a game theoretic model where multiple suppliers and consumers interact continuously by setting prices in a dynamic market with friction. Using stochastic differential equations to model the dynamics with friction, we investigate the equilibrium, and analyze the efficiency of the market under an integrated expected cost function.
Arman C. Kizilkale, Shie Mannor
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Forecasting Stock Market Volatility Using Implied Volatility
2007 American Control Conference, 2007We explored the firm-level forecasting power of implied volatility on realized volatility over various horizons. All existing literatures focused on examining forecasting power over the remaining life of options. We built a linear regression model using implied volatility series to forecast future volatility of various horizons.
Peng He, Stephen Shing-Toung Yau
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Volatility discovery and volatility quoting on markets for options and warrants
Journal of Futures Markets, 2017In several countries, classical options markets coexist with markets for bank‐issued options (warrants) that are sold to retail investors. An interesting question in such cases is whether these bank‐issued options merely reflect the options market information about future volatility or whether they themselves contribute to volatility discovery. We find
Rainer Baule +2 more
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Forecasting Chinese Stock Market Volatility With Volatilities in Bond Markets
Journal of ForecastingABSTRACTIn this paper, we investigate whether the bond markets contain important information that can improve the accuracy of stock market volatility forecasts in China. We use realized volatility (RV) implemented by different maturity treasury bond futures contracts to predict the Chinese stock market volatility. Our work is based on the heterogeneous
Likun Lei +3 more
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The Volatility of Stock Market Prices
Science, 1987If the volatility of stock market prices is to be understood in terms of the efficient markets hypothesis, then there should be evidence that true investment value changes through time sufficiently to justify the price changes. Three indicators of change in true investment value of the aggregate stock market in the United States from 1871 to 1986 are ...
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Market volatility and the trend factor
Finance Research Letters, 2023Ming Gu +3 more
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Geopolitical risk and stock market volatility: A global perspective
Finance Research Letters, 2023Yaojie Zhang, Mengxi He, Shaofang Li
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