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Skew and implied leverage effect: smile dynamics revisited
Vincent Vargas, Tung-Lam Dao, Jean-Philippe Bouchaud
We revisit the ``Smile Dynamics'' problem, which consists in relating the implied leverage (i.e. the correlation of the at-the-money volatility with the returns of the underlying)…
The fine structure of volatility feedback II: overnight and intra-day effects
Pierre Blanc, Rémy Chicheportiche, Jean-Philippe Bouchaud
We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intra-day contributions. We find, as perhaps expected, that the overnight and intra-day re…
Some applications of first-passage ideas to finance
Rémy Chicheportiche, Jean-Philippe Bouchaud
Many problems in finance are related to first passage times. Among all of them, we chose three on which we contributed personally. Our first example relates Kolmogorov-Smirnov like…
Critical reflexivity in financial markets: a Hawkes process analysis
Stephen J. Hardiman, Nicolas Bercot, Jean-Philippe Bouchaud
We model the arrival of mid-price changes in the E-Mini S&P futures contract as a self-exciting Hawkes process. Using several estimation methods, we find that the Hawkes kernel is…