Questions tagged [relationship]
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5
questions
2
votes
0answers
31 views
How to derive the half slope rule from asymptotic relation between implied and local volatility?
In their paper(https://www.sciencedirect.com/science/article/pii/S0764444200017493) BERESTYCKI, BUSCA, and FLORENT proved an asymptotical relation(for short maturity) between implied and local ...
5
votes
3answers
2k views
Is there a copula that can estimate negative tail dependence?
I have encountered numerous copula estimators that can estimate time-invariant and time-varying linear and non-linear correlations on the interval $[-1,1]$, and these estimators are fully consistent ...
12
votes
1answer
819 views
Alternative ways to understand time-varying comovement between two time-series?
I have been looking into ways to better understand how the dependencies/correlations/etc between two time series can vary over time.
I first thought about using a Kalman/particle filter over a ...
5
votes
2answers
379 views
Can we explain physical similarities between Black Scholes PDE and the Mass Balance PDE (e.g. Advection-Diffusion equation)?
Both the Black-Scholes PDE and the Mass/Material Balance PDE have similar mathematical form of the PDE which is evident from the fact that on change of variables from Black-Scholes PDE we derive the ...
9
votes
2answers
406 views
local price return and volume relationship
I wanted to see how the stock price and volume relationship is locally.
So I tried ranking both the daily return (at day t) and volume (at day t) base on a 30 day rolling window with historical daily ...
