Dynamics of implied volatility surfaces from random matrix theory |
| |
Authors: | Min Jae Kim In Kyu Ko |
| |
Affiliation: | Department of Physics, Korea Advanced Institute of Science and Technology, Republic of Korea |
| |
Abstract: | We analyze the dynamics of the implied volatility surface of KOSPI 200 futures options from random matrix theory. To extract the informative data, we use random matrix criteria. Implied volatility data have a colossal eigenvalue, and the order of eigenvalues in a noisy regime is distinguishably smaller than a random matrix theory prediction. We discern the marketwide knowledge of the implied volatility surface movement such as the level, skew, and smile effect. These dynamics has the ergodic property and long range autocorrelation. We also study the relationship between the three implied volatility surface dynamics and the underlying asset dynamics, and confirm the existence of leverage effect even in the short time interval. |
| |
Keywords: | Random matrix theory Implied volatility surface Non-parametric Nadaraya-Watson estimator KOSPI 200 futures options |
本文献已被 ScienceDirect 等数据库收录! |
|