quantitative finance

Markets

Dislocations Between Historical and Implied Volatility as an Indicators of Volatility Trades

Differences between historical realized volatility and option implied volatility has for long been known as a potential indicator for volatility mispricing. To our knowledge, the first well-known academic study on the topic was conducted by Goyal and Saretto in 2009 and published as the paper ‘Cross-section of Option Returns and Read more…

By BSIC, 5 years5 years ago

Markets Quantitative Finance

When dealing with multiple stocks

In finance, a covariance matrix can be a useful tool to estimate the cross correlations between different stocks. However, historical data contains random noise, which can alter the underlying information. Here we illustrate how Random Matrix Theory can be used to filter a diagonalisable matrix and how information about the market Read more…

By BSIC, 7 years6 years ago

Markets

Dislocations Between Historical and Implied Volatility as an Indicators of Volatility Trades

Markets Quantitative Finance

When dealing with multiple stocks

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