This is a summary of links featured on Quantocracy on Thursday, 03/07/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Log-normal stochastic volatility with quadratic drift [Artur Sepp]Our article Log-normal Stochastic Volatility Model with Quadratic Drift co-authored with Parviz Rakhmonov is published in International Journal of Theoretical and Applied Finance with open access https://www.worldscientific.com/doi/10.1142/S0219024924500031 The log-normality of realised and implied volatilities of asset returns is a well-documented empirical feature. For example, see
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Why the last good State of the Union speaker was Bill Clinton [Quantifiable Edges]Joe Biden will be giving his State of the Union Address tonight, and people are wondering how his talk might impact the market over the next several days. I have looked at performance following State of the Union before and decided to update that research today. The data table below looks back to 1982. There were a few instances, such as 2001 and 2009 where the speech was not an official State