Abstract
Financial time series exhibit multifractal scaling behaviour indicating a complex behaviour with long-range time correlations manifested on different intrinsic time scales. Such a behaviour typically points to the presence of recurrent economic cycles, crises, large fluctuations, and other nonlinear phenomena. We review quantitative volatility trading in classical economics before discussing some necessary modifications needed to account for multifractality in inefficient markets. We then present an arbitrage-free model of implied volatility surface, which is robust, easy to implement and computationally fast, enabling for systematic volatility trading. We consider risk management and discuss some applications on variance swaps and dispersion trading.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
