arXiv research

Enhanced GARCH model uses autoencoder for volatility forecasting.

News embeddings improve volatility forecasts.

Path-dependent PDEs model VIX and Realised Variance options.

The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with constant volatility models up to stochastic volatility. We also survey less comm…

Working on different aspects of algorithmic trading we empirically discovered a new market invariant. It links together the volatility of the instrument with its traded volume, the average spread and the volume in the order book. The invariant has been tested on different markets and different asset classes. In all cas…

We present small-time implied volatility asymptotics for Realised Variance (RV) and VIX options for a number of (rough) stochastic volatility models via large deviations principle. We provide numerical results along with efficient and robust numerical recipes to compute the rate function; the backbone of our theoretica…

In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pricing tool for European-style claims paying off at maturity a joint function of the underlying and its realised volatilit…

Key to the imposition of appropriate minimum capital requirements on a daily basis requires accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high frequency UK futures realisations underpinned by a continuous time framework. Squared and absolute returns are incorpor…

Bitcoin volatility shows multifractal structure, contradicting rough volatility models.

Study finds Binance's tether-margined contracts significantly impact bitcoin volatility.

Extracting the risk neutral density (RND) function from option prices is well defined in principle, but is very sensitive to errors in practice. For risk management, knowledge of the entire RND provides more information for Value-at-Risk (VaR) calculations than implied volatility alone [1]. Typically, RNDs are deduced …

A new method simulates implied volatility surfaces for multiple assets.

Given discrete time observations over a fixed time interval, we study a nonparametric Bayesian approach to estimation of the volatility coefficient of a stochastic differential equation. We postulate a histogram-type prior on the volatility with piecewise constant realisations on bins forming a partition of the time in…

We propose a heterogeneous simultaneous graphical dynamic linear model (H-SGDLM), which extends the standard SGDLM framework to incorporate a heterogeneous autoregressive realised volatility (HAR-RV) model. This novel approach creates a GPU-scalable multivariate volatility estimator, which decomposes multiple time seri…

This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer broking system indicates significant evidence of intraday seasonality in returns and return vo…

This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their correlation and cross correlation. When applied to daily and hourly EUR/USD and…

DeepVol uses high-frequency data to forecast volatility, outperforming traditional methods.

The paper shows geometric realisation over specific groups and knots.

We develop a new purely combinatorial approach to N. Steenrod's problem on realisation of cycles. We prove that every n-dimensional homology class of every topological space can be realised with some multiplicity by an image of a finite-fold covering over the manifold M^n, where M^n is the isospectral manifold of real …

Motivated by the importance of symplectic isotropic realisations in the study of Poisson manifolds, this paper investigates the local and global theory of contact isotropic realisations of Jacobi manifolds, which are those of minimal dimension. These arise naturally when considering multiplicity-free actions in contact…

Agent-based model simulates speculative electronic market with price bubbles.

The paper proves a theorem about fixed points and relates it to the Nielsen realisation problem.

The study explores which sets of integers can be realized as the degrees of maps between manifolds.

Study Coxeter groups over fusion rings and their geometric realisations.

We prove Nielsen realisation for finite subgroups of the groups of untwisted outer automorphisms of RAAGs in the following sense: given any graph $Γ$, and any finite group $G\leqslant \mathrm{U}^0(A_Γ) \leqslant \mathrm{Out}^0(A_Γ)$, we find a non-positively curved cube complex with fundamental group $A_Γ$ on which $G$…

The paper constructs infinitely many stably diffeomorphic but non-homotopy equivalent manifolds.

Detecting changes in asset co-movements is of much importance to financial practitioners, with numerous risk management benefits arising from the timely detection of breakdowns in historical correlations. In this article, we propose a real-time indicator to detect temporary increases in asset co-movements, the Autoenco…

The paper removes a condition for the Nielsen realisation problem using equivariant Poincaré duality.

Study on constraints for topological and smooth realizations of line arrangements and configurations.

In the recent years, banks have sold structured products such as worst-of options, Everest and Himalayas, resulting in a short correlation exposure. They have hence become interested in offsetting part of this exposure, namely buying back correlation. Two ways have been proposed for such a strategy : either pure correl…

Just as $\Cstar$ principal bundles provide a geometric realisation of two-dimensional integral cohomology; gerbes or sheaves of groupoids, provide a geometric realisation of three dimensional integral cohomology through their Dixmier-Douady class. I consider an alternative, related, geometric realisation of three dimen…

We develop a general multivariate aggregation property which encompasses the distinct versions of the property that were introduced by Neuberger [2012] and Bondarenko [2014] independently. This way, we classify new types of model-free realised characteristics for which risk premia may be estimated without bias. We focu…

We generalise the Karrass-Pietrowski-Solitar and the Nielsen realisation theorems from the setting of free groups to that of free products. As a result, we obtain a fixed point theorem for finite groups of outer automorphisms acting on the relative free splitting complex of Handel--Mosher and on the outer space of a fr…

We present classification results for exceptional Legendrian realisations of torus knots. These are the first results of that kind for non-trivial topological knot types. Enumeration results of Ding-Li-Zhang concerning tight contact structures on certain Seifert fibred manifolds with boundary allow us to place upper bo…

We study dismantling properties of the arc, disc and sphere graphs. We prove that any finite subgroup H of the mapping class group of a surface with punctures, the handlebody group, or Out(F_n) fixes a filling (resp. simple) clique in the appropriate graph. We deduce realisation theorems, in particular the Nielsen Real…

A space is created to realize a specific cohomology module, showing PL structure but not smoothability.

Measuring foliations at infinity of quasi-Fuchsian manifolds, proving filling pairs and showing realisation.

We show that the sum of the Morse indices of the Willmore spheres realising the width of Willmore type sweep-outs is bounded by the number of the parameters of the min-max. As an application, we deduce that among the true Willmore spheres realising the min-max sphere eversion, at most one of them one has index 1, while…

We introduce the notion of a special complex manifold: a complex manifold (M,J) with a flat torsionfree connection \nabla such that (\nabla J) is symmetric. A special symplectic manifold is then defined as a special complex manifold together with a \nabla-parallel symplectic form ω. This generalises Freed's definition …

We realise the first and second Grushin distributions as symmetry reductions of the 3-dimensional Heisenberg distribution and 4-dimensional Engel distribution respectively. Similarly, we realise the Martinet distribution as an alternative symmetry reduction of the Engel distribution. These reductions allow us to derive…

The paper studies elliptic operators on manifolds with boundary.

Let $G$ be a connected, linear, real reductive Lie group with compact centre. Let $K<G$ be maximal compact. For a tempered representation $π$ of $G$, we realise the restriction $π|_K$ as the $K$-equivariant index of a Dirac operator on a homogeneous space of the form $G/H$, for a Cartan subgroup $H<G$. (The result in f…

Let $X$ be a smooth, compact, oriented $4$-manifold. Building upon work of Li-Liu, Ruberman, Nakamura and Konno, we consider a families version of Seiberg-Witten theory and obtain obstructions to the existence of certain group actions on $X$ by diffeomorphisms. The obstructions show that certain group actions on $H^2(X…

Generalizes existence of bending laminations for Kleinian groups.

Intermediate logic of all convex polyhedra is axiomatized.

Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the last decade. The pricing of VIX derivatives involves evaluating the square root of the expected realised variance which cannot be computed by direct Monte Carlo methods. Least squares Monte Carlo methods…

We develop a new Monte Carlo variance reduction method to estimate the expectation of two commonly encountered path-dependent functionals: first-passage times and occupation times of sets. The method is based on a recursive approximation of the first-passage time probability and expected occupation time of sets of a Le…

We completely classify Legendrian realisations of the Hopf link, up to coarse equivalence, in the 3-sphere with any contact structure.