Systematic Momentum: A New Class of Price Patterns
Management Science, Forthcoming
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Management Science, Forthcoming
Management Science, 71(5):3891-3923
Analyzing the specifications of pricing models for the joint valuation of S\&P 500 and VIX options, I find that the existing models cannot adequately represent the two options markets. I introduce a new factor that controls the higher-order moments of the …
Journal of Economic Dynamics and Control, 171, 105018
This paper shows a strong link between the granular information contained in individual stock prices and sectoral movements. We find that a predictor aggregating the price movements of a broad cross section of individual stocks predicts intraday returns of …
Management Science, 68(10), 7761-7791
This paper proposes a new reduced-form model for the pricing of VIX derivatives that includes an independent stochastic jump intensity factor and co-jumps in the level and variance of VIX, while allowing the mean of VIX variance to be time-varying. I fit the …