SSRN Author: Torben G. AndersenTorben G. Andersen SSRN Content
http://www.ssrn.com/author=17696
http://www.ssrn.com/rss/en-usSun, 20 Mar 2016 01:33:30 GMTeditor@ssrn.com (Editor)Sun, 20 Mar 2016 01:33:30 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Intraday Trading Invariance in the E-Mini S&P 500 Futures MarketThe intraday trading patterns in the E-mini S&P 500 futures contract between January 2008 and November 2011 are consistent with the following invariance relationship: The return variation per transaction is log-linearly related to trade size, with a slope coefficient of -2. This association applies both across the pronounced intraday diurnal pattern and across days in the time series. The documented factor of proportionality deviates sharply from prior hypotheses relating volatility to transactions count or trading volume. Intraday trading invariance is motivated a priori by the intuition that market microstructure invariance, introduced by Kyle and Obizhaeva (2016) to explain bets at low frequencies, also applies to transactions over high intraday frequencies.
http://www.ssrn.com/abstract=2693810
http://www.ssrn.com/1480296.htmlSat, 19 Mar 2016 01:54:26 GMTREVISION: Intraday Trading Invariance in the E-Mini S&P 500 Futures MarketIntraday trading patterns in the E-mini S&P 500 futures contract between January 2008 and November 2011 are consistent with the following invariance relationship: The return variation per transaction is log-linearly related to trade size, with a slope coefficient equal to -2. This association applies both across the pronounced intraday diurnal pattern and across days in the time series. The documented factor of proportionality deviates sharply from prior hypotheses relating volatility to transactions count or trading volume. Intraday trading invariance is motivated a priori by the intuition that market microstructure invariance, introduced by Kyle and Obizhaeva (2013) to explain bets at low frequencies, also applies to transactions over high intraday frequencies.
http://www.ssrn.com/abstract=2693810
http://www.ssrn.com/1446938.htmlSun, 22 Nov 2015 12:58:37 GMTREVISION: The Fine Structure of Equity-Index Option DynamicsWe analyze the high-frequency dynamics of S&P 500 equity-index option prices by constructing an assortment of implied volatility measures. This allows us to infer the underlying fine structure behind the innovations in the latent state variables driving the evolution of the volatility surface. In particular, we focus attention on implied volatilities covering a wide range of moneyness (strike/underlying stock price), which load differentially on the different latent state variables. We conduct a similar analysis for high-frequency observations on the VIX volatility index as well as on futures written on it. We find that the innovations over small time scales in the risk-neutral intensity of the negative jumps in the S&P 500 index, which is the dominant component of the short-maturity out-of-the-money put implied volatility dynamics, are best described via non-Gaussian shocks, i.e., jumps. On the other hand, the innovations over small time scales of the diffusive volatility, which is ...
http://www.ssrn.com/abstract=2350997
http://www.ssrn.com/1435293.htmlSat, 10 Oct 2015 09:37:32 GMTREVISION: Exploring Return Dynamics via Corridor Implied VolatilityA number of fundamental questions regarding the equity-index return dynamics are difficult to address due to the latent character of spot volatility. We exploit tick-by-tick option quotes to compute a novel "Corridor Implied Volatility,' or CX, index which may serve as an observable proxy for short-term volatility. Exploiting this index, we obtain striking new empirical findings. In particular, equity-index volatility jumps are common and they are symmetrically distributed and co-jump with the underlying returns. Moreover, the return-volatility asymmetry, or leverage effect, is more pronounced than generally recognized and is in force for both diffusive and jump innovations in volatility. Finally, the CX index performs admirably during turbulent market conditions so it constitutes a useful real-time gauge of market stress.
http://www.ssrn.com/abstract=1787528
http://www.ssrn.com/1435291.htmlSat, 10 Oct 2015 09:17:59 GMTNew: Exchange Rate Returns Standardized by Realized Volatility are (Nearly) GaussianIt is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution, and that the fat tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized instead by the realized volatilities of Andersen, Bollerslev, Diebold and Labys (2000a) are very nearly Gaussian. We perform both univariate and multivariate analyses, and we trace the differing effects of the different standardizations to differences in information sets.
http://www.ssrn.com/abstract=2627652
http://www.ssrn.com/1410257.htmlWed, 08 Jul 2015 04:10:39 GMTREVISION: Exploring Return Dynamics via Corridor Implied VolatilityA number of fundamental questions regarding the equity-index return dynamics are difficult to address due to the latent character of spot volatility. We exploit tick-by-tick option quotes to compute a novel "Corridor Implied Volatility,' or CX, index which may serve as an observable proxy for short-term volatility. Exploiting this index, we obtain striking new empirical findings. In particular, equity-index volatility jumps are common and they are symmetrically distributed and co-jump with the underlying returns. Moreover, the return-volatility asymmetry, or leverage effect, is more pronounced than generally recognized and is in force for both diffusive and jump innovations in volatility. Finally, the CX index performs admirably during turbulent market conditions so it constitutes a useful real-time gauge of market stress.
http://www.ssrn.com/abstract=1787528
http://www.ssrn.com/1392373.htmlSun, 26 Apr 2015 05:56:47 GMTREVISION: Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market TurbulenceFollowing the much publicized "flash crash" in the U.S. financial markets on May 6, 2010, much work has been done in terms of developing reliable warning signals for impending market stress. However, this has met with limited success, except for one measure. The VPIN, or Volume-synchronized Probability of INformed trading, metric is introduced by Easley, Lopez de Prado and O'Hara (ELO) as a real-time indicator of order flow toxicity. They find the measure useful in predicting return volatility and conclude it, indeed, may help signal impending market turmoil. The VPIN metric involves decomposing volume into active buys and sells. We use the best-bid-offer (BBO) files from the CME Group to construct highly accurate trade classification measures for the E-mini S&P 500 futures contract. Against this benchmark, the ELO Bulk Volume Classification (BVC) scheme is inferior to a standard tick rule based on individual transactions. Moreover, when VPIN is constructed from an accurate ...
http://www.ssrn.com/abstract=2292602
http://www.ssrn.com/1387611.htmlMon, 06 Apr 2015 07:03:43 GMT