arXiv q-fin· Deepak Bastola, Eli Prushansky·· 5 hr agoAI Score47
Implied Volatility Surface Construction and Forecasting via Survey Sampling, Tempered Inverse-Probability Sequence Learning, and Causal Activity Clocks
Compiling and forecasting implied volatility surfaces via survey sampling, tempered inverse-probability sequence learning, and causal activity clocks
AI summary
A quantitative finance study based on a split-adjusted panel of NVIDIA (NVDA) stocks and options from 2018 to 2025, integrating finite population survey sampling, tempered inverse-probability sequence learning, and causal activity clock methods to conduct implied volatility surface construction and derivatives risk prediction analysis.
Source:arXiv q-fin · arxiv.org
Academic papers#Papers / Research#arXiv#Options#Volatility#Machine Learning#High-Frequency / Market Microstructure