Implied volatility sentiment: a tale of two tails

DOI10.1080/14697688.2019.1696018zbMath1466.91311OpenAlexW2580253239MaRDI QIDQ4991061

Roman Kraeussl, Luiz Félix, Philip Stork

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://research.vu.nl/ws/files/121751957/Implied_volatility_sentiment_a_tale_of_two_tails.pdf

zbMATH Keywords

predictabilitymachine learningimplied volatilityreversalssentimentequity-risk premium

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Financial markets (91G15)

Uses Software

• ElemStatLearn

Cites Work

• Advances in prospect theory: cumulative representation of uncertainty
• Empirical option pricing: A retrospection
• Nonparametric risk management and implied risk aversion
• The Probability Weighting Function
• Option prices and stock market momentum: evidence from China
• The elements of statistical learning. Data mining, inference, and prediction

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