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The Application of Symbolic Regression on Identifying Implied Volatility Surface
Mathematics, 2023 One important parameter in the Black–Scholes option pricing model is the implied volatility. Implied volatility surface (IVS) is an important concept in finance that describes the variation of implied volatility across option strike price and time to ...
Jiayi Luo, Cindy Long Yu
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Impact of Idiosyncratic Volatility on Average Stock Returns: Evidence from Sri Lanka [PDF]
Colombo Business Journal, 2020 The complete diversification of idiosyncratic volatility is questionable due to factors such as market imperfections, investor irrationality and managerial decisions.
H. A. P. K. Perera
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Entropy Based Student’s t-Process Dynamical Model
Entropy, 2021 Volatility, which represents the magnitude of fluctuating asset prices or returns, is used in the problems of finance to design optimal asset allocations and to calculate the price of derivatives.
Ayumu Nono +2 more
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Evaluation of the Fluctuation Mechanism of Behavioral Financial Market Based on Edge Computing
International Transactions on Electrical Energy Systems, 2022 The global economy is growing faster and faster. Behavioral finance is a transformation of financial theory. Over the past decade, this shift has had strong repercussions in academia, challenging the dominance of traditional finance and forming its own ...
Xiaoliang Yuan
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Analysis of Investor Sentiment Impact in Indonesia Composite Stock Price Index Return Volatility
Indonesian Journal of Business and Entrepreneurship, 2018 The Composite Stock Price Index (IHSG) is an index used as an indicator of stock price movements on Indonesia Stock Exchange and reference of capital market activities.
Rum Puspita Widhiarti +2 more
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Forecasting the Volatility of the Stock Index with Deep Learning Using Asymmetric Hurst Exponents
Fractal and Fractional, 2022 The prediction of the stock price index is a challenge even with advanced deep-learning technology. As a result, the analysis of volatility, which has been widely studied in traditional finance, has attracted attention among researchers.
Poongjin Cho, Minhyuk Lee
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Journal of Inequalities and Applications, 2019 Stochastic volatility models play an important role in finance modeling. Under a mixed fractional Brownian motion environment, we study the continuity and estimates of a solution to a kind of stochastic differential equations with double volatility terms.
Yan Dong
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Investor attention and cryptocurrency: Evidence from the Bitcoin market.
PLoS ONE, 2021 This paper adds to the growing literature of cryptocurrency and behavioral finance. Specifically, we investigate the relationships between the novel investor attention and financial characteristics of Bitcoin, i.e., return and realized volatility, which ...
Panpan Zhu +4 more
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Cogent Economics & FinanceThis study explores the volatility spillover effects between clean and dirty cryptocurrencies and key financial indices, specifically focusing on Green Finance Indices (such as solar, wind, and nuclear) and Economic Indices (like the Baltic Dry Index and
Iulia Cristina Iuga +2 more
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ESTIMASI NILAI IMPLIED VOLATILITY MENGGUNAKAN SIMULASI MONTE CARLO
E-Jurnal Matematika, 2018 Investing among investors is an exciting activity to gain profit in the financial world. The development of investment in the financial world affects the number of alternative investment instruments that can be offered to investors in the capital market.
MAKBUL MUFLIHUNALLAH +2 more
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