118 citations · 167 across the 15 of their papers we have counts for
3 papers · 1 filter
Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots
Mostafa Shabani, Martin Magris, George Tzagkarakis +2
Cross-correlation analysis is a powerful tool for understanding the mutual dynamics of time series. This study introduces a new method for predicting the future state of synchroniz…
Option market (in)efficiency and implied volatility dynamics after return jumps
Juho Kanniainen, Martin Magris
In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underl…
Implied volatility smile dynamics in the presence of jumps
Martin Magris, Perttu Barholm, Juho Kanniainen
The main purpose of this work is to examine the behavior of the implied volatility smiles around jumps, contributing to the literature with a high-frequency analysis of the smile d…