2 papers
q-fin.MF2019
Using Machine Learning to Predict Realized Variance
Peter Carr, Liuren Wu, Zhibai Zhang
In this paper we formulate a regression problem to predict realized volatility by using option price data and enhance VIX-styled volatility indices' predictability and liquidity. W…
q-fin.MF2018
Generalizing Geometric Brownian Motion
Peter Carr, Zhibai Zhang
To convert standard Brownian motion into a positive process, Geometric Brownian motion (GBM) is widely used. We generalize this positive process by introducing…