This is a summary of links featured on Quantocracy on Monday, 08/01/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Slava Ukraini! Latest from Quantocracy contributor in Ukraine: Modeling Dynamics of Entire Implied Volatility Surface [Only VIX]There is a very cool webinar coming up next week that I suggest everyone to register and attend link Daniel Bloch, also often listed as Daniel Alexandre Bloch has contributed a lot of research on using ML for options pricing. Also Mr Block published a very thorough free textbook options pricing that I highly recommend to everyone – it reviews and evaluates most of the recent developments in
-
Why GARCH models fail out-of-sample [Artifact Research]This is the third post of a short series of posts on extreme events in financial time series. In the first post, we have introduced power-law theory to describe and extrapolate the chance of extreme price movements of the S&P500 index. In the second post, we took a closer look at how statistical moments may become infinite in the presence of power-law tails, rendering common estimators
-
Do Stocks Efficiently Predict Recessions? [Alpha Architect]What are the Research Questions? There is abundant literature on the relationship between the business cycle and future stock returns. The traditional view is that stocks are rationally priced to immediately reflect investors expectations about future economic activity and that expected excess returns on stocks are positive, vary over time, and display counter-cyclical behavior. The author asks