5 papers
Distributions of Historic Market Data -- Relaxation and Correlations
M. Dashti Moghaddam, Zhiyuan Liu, R. A. Serota
We investigate relaxation and correlations in a class of mean-reverting models for stochastic variances. We derive closed-form expressions for the correlation functions and leverag…
Implied and Realized Volatility: A Study of the Ratio Distribution
M. Dashti Moghaddam, R. A. Serota
We analyze correlations between squared volatility indices, VIX and VXO, and realized variances -- the known one, for the current month, and the predicted one, for the following mo…
Distributions of Historic Market Data -- Implied and Realized Volatility
M. Dashti Moghaddam, Zhiyuan Liu, R. A. Serota
We undertake a systematic comparison between implied volatility, as represented by VIX (new methodology) and VXO (old methodology), and realized volatility. We compare visually and…
Distributions of Historic Market Data - Stock Returns
Zhiyuan Liu, M. Dashti Moghaddam, R. A. Serota
We show that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-…
On absence of steady state in the Bouchaud-Mézard network model
Zhiyuan Liu, R. A. Serota
In the limit of infinite number of nodes (agents), the Itô-reduced Bouchaud-Mézard network model of economic exchange has a time-independent mean and a steady-state inverse gamma d…