Similar Volatility Research Articles

Predicting Portfolios Using Fuzzy Logic and Optimization Techniques: A Case Study of BSE-IT Listed Companies

Stock price trends were considered in this study, the companies in the BSE-IT index, with a view to optimizing portfolio allocation based on risk tolerance. The GARCH model has been applied here to allow an investigation into the volatility of the stock returns and to set up different clusters using K-Means clustering that group together companies owning the same attributes related to volatility for strategic classification. Data collection and processing occur between April 1, 2014, and March 31, 2024, for reasons of reliability and relevance. Descriptive statistics report on the variance of stock performance across companies; different risk-return profiles are thus exposed. The GARCH model measures each stock's long-term variance, along with sensitivity to past shocks, and overall volatility persistence, making this an excellent inventory for risk assessment. K-Means clustering groups companies based on similar volatility patterns, thereby informing portfolio construction. Findings present how clustering with econometric modeling may assist in the production of optimal portfolios that depend on specified risk capacities, thus efficiently managing and implementing an IT investment strategy.

ESG performance and corporate volatility: an empirical exploration in an emerging economy

PurposeThis study aims to investigate into the dynamic connection between ESG scores and the volatility term structure for Indian companies listed BSE. The study divides the BSE-100 listed companies into two panels based on their median ESG scores in 2022, creating high and low ESG scoring groups to capture volatility structure.Design/methodology/approachThe study employs time-varying symmetric and asymmetric GARCH models and followed by continuous Wavelet to capture volatility structure and explore comparative resilience behavior.FindingsThe study found similar volatility patterns regardless of ESG scores, nudging doubt on the direct impact of ESG on volatility. Additionally, both high- and low-ESG-scored companies displayed high vulnerabilities during the pandemic, raising questions about the effectiveness of ESG frameworks in capturing risks. Finally, by examining the resilience behavior of ESG-scored companies during the pandemic, our study contributes to the evolving understanding of the intersection between ESG performance and crisis response.Practical implicationsThe study carries vital implications for investors and policymakers. It highlights the urgent need to strengthen the ESG framework and scores to shield investors from short- and long-term volatilities and economic vulnerabilities.Originality/valueTo the best of the authors’ knowledge, this is the first study investigating the Indian market by examining the volatility structure and resilience behavior of high- and low-ESG-scored companies during the pandemic.Peer reviewThe peer review history for this article is available at: https://publons.com/publon/10.1108/IJSE-02-2024-0113

Price volatility and demand of vegetables in three Brazilian Southeast supply centers between 2017 and 2021

Vegetable consumption has increased in recent years due to the predisposition of people to have a healthy diet, which includes the ingestion of fibers, vitamins, and minerals present in fruits and vegetables. In Brazil, lettuce, tomato, carrot, onion, and potato are the five vegetables with the highest consumption. In this study, the price volatility and the price elasticity measure (price elasticity of supply, price elasticity of demand, or price inelasticity) of lettuce, tomato, carrot, onion, and potato were evaluated in three supply centers (CEAGESSP, CEASAMINAS e CEASA/RJ) between 2017 to 2021. The results indicated that all the evaluated products had similar price volatility behavior between 2019 to 2021 in the three supply centers. Moreover, the years with higher instabilities of prices were 2020 for potatoes and carrots, 2019 for lettuce, and 2018 for onion. The price elasticity or inelasticity had independent behavior per supply center. However, there are some periods of inelasticity where the price does not influence the quantity demanded or supplied of the evaluated products. In conclusion, there is high variability of price and volume for tomato, potato, onion, lettuce, and carrot during the year. There was a negative in the price and volume of vegetables which indicates that the reduction of volume increases the price of vegetables. The prices of commercialized vegetables are strongly influenced by the forces of supply and demand, which configures a seasonal characteristic.

Simple model for water wash performance in amine scrubbing for CO2 capture

In amine-based capture systems, a water wash is necessary to remove gaseous amine to minimize atmospheric emissions and maximize amine recovery. Water wash simulation requires rigorous thermodynamic and kinetic models like those for absorption and stripping systems. An offline water wash model has been developed based on simplified thermodynamic and mass transfer assumptions to simulate a single-stage water wash for flue gas from gas-fired turbines with little or no aerosol, and to expedite simulations without needing to utilize process modeling software. Calculation of activity coefficients using both Pitzer–Debye–Hückel and Debye–Hückel theory suggest that the liquid phase in a typical water wash will be ideal due to the dilute concentration of molecular and ionic species.Vapor phase piperazine (PZ) is predicted with a driving force based on the volatility of the free amine that has not reacted with other species or dissociated into its ionic form, and the predicted outlet concentration is nearly identical to that predicted by rigorous Aspen PlusⓇ simulations. The predicted UT FEED outlet concentration is 220 ppb compared to 260 ppb predicted by Aspen PlusⓇ.Single-stage water washes are predicted to have single ppm concentration of MEA leaving the wash outlet flue gas. Amino-methyl-propanol (AMP) is predicted to be reduced to 10–30 ppm by a single-stage wash, and is predicted to be a difficult-to-capture amine without further washing steps. This prediction correlates with published TCM data from an ALIGN-CCUS campaign. Amine compounds at a similar or lower volatility to that of PZ are predicted to be reduced to ppb levels via a single-stage wash.

Spatio-temporal pattern evolution of China’s provincial tourism efficiency and development level based on DEA-MI model

The spatial differences of efficiency and development level of regional tourism are evident, and the dynamic grasp of their spatiotemporal evolution characteristics and coupling coordination relationship is important to promote high-quality sustainable tourism development. Herein, we measured the tourism development level of 31 provincial units in China during 2000–2020, introduced the data envelopment analysis-based Malmquist productivity index to determine tourism efficiency, used exploratory spatiotemporal data analysis methods to explore the spatiotemporal dynamic characteristics of regional tourism differences and spatial structure, constructed a coupled coordination model of tourism efficiency and development level and analyzed their coupling excellence and synergistic consistency. The results were as follows: (1) The spatial differences of comprehensive tourism efficiency from 31 provinces were evident, and the average situation showed high and low distribution characteristics in the east and west, respectively. The interannual changes showed a fluctuating downward trend, with the scale efficiency playing a supporting role for comprehensive efficiency and technical efficiency playing an influencing and restraining role. (2) Less fluctuation existed in the local spatial structure of tourism efficiency and development level; the direction of dependence was more stable, tourism development level was slightly more volatile, and the spatial dependency direction changes were similar. The tourism efficiency of local structure competition posture was stronger than that of collaboration, with the tourism development level collaboration integration being stronger. (3) The local spatial structure of tourism development level was more stable, the relative position of provincial units was more difficult to change, tourism efficiency of local spatial structure was unstable, and provincial units exhibited a greater possibility of change. (4) Tourism efficiency and the scale of the overall coupling degree and coupling coordination gradually improved, with similar spatiotemporal values. The overall coupling degree and coupling coordination degree of tourism efficiency and development level gradually improved, with similar spatiotemporal heterogeneity and volatility of local evolution. The area with a higher value coupling coordination degree spread slower and more widely.

Эстетическое и чувственное, или Почему искусство часто сравнивают с вином

In the present article, using the well-known analogy between the perception of art and the perception of wine proposed by M. Friedländer, the grounds for such a comparability are considered. Nowadays, wine and art are investment objects and behave similarly on the market, differing with similar volatility, needing provenance confirmation, support from experts, victimized by falsifiers and so on. Nevertheless, the most interesting area for comparison is that of perceiving elite wines and the most outstanding works of art. However, the most inter-esting area for comparison is that of perceiving elite wines and the most outstanding works of art. Empirical studies intended to raise awareness that it is impossible to distinguish one superlative from another superlative, both in the realm of the sensual and in the realm of the aesthetic. Nevertheless, this incomparability of the in-comparable, which modern science understands as a discovery, was known to aesthetics at least in the time of E. Burke. The modern cultural situation is characterized by the fact that the results of private taste preferences influence economic processes.

Sustainable and Governance Investment Funds in Brazil: A Performance Evaluation

This study analyzes the financial performance of sustainable investments against conventional investment products in an emerging market context using a sample of sustainable and governance equity investment funds that focus solely on the Brazilian stock market. A quantitative analysis is used to compare monthly returns, volatility, and Jensen’s alpha for the period of January 2017 to December 2019 (bull market) and January 2020 and December 2021 (bear market). The study finds that sustainable investments do not diverge from conventional stock funds during a bear market period in terms of financial performance and present similar volatility. The main findings of this study corroborate the latest research from the ANBIMA reports related to sustainability practices in the Brazilian capital markets. The study also contributes to the academic literature by providing empirical evidence from an emerging economy such as Brazil of reasonable performance from sustainable investments in different periods of an economic cycle. The study has a few limitations such as the lack of a taxonomy and an ESG regulatory framework for the sustainable and governance equity investment funds and the small number of sustainable and governance equity investment funds in Brazil.

Characterization of volatiles in flowers from four Rosa chinensis cultivars by HS-SPME-GC × GC-QTOFMS.

Rosa chinensis cultivars with volatile aromas are important resources in the perfume industry. The four rose cultivars introduced to Guizhou province are rich in volatile substances. In this study, volatiles from four Rosa chinensis cultivars were extracted using headspace-solid phase microextraction (HS-SPME), and analyzed with two-dimensional gas chromatography quadrupole time of flight mass spectrometry (GC × GC-QTOFMS). A total of 122 volatiles were identified; the main compounds in these samples were benzyl alcohol, phenylethyl alcohol, citronellol, beta-myrcene and limonene. A total of 68, 78, 71, and 56 volatile compounds were identified in Rosa 'Blue River' (RBR), Rosa 'Crimson Glory' (RCG), Rosa 'Pink Panther' (RPP), and Rosa 'Funkuhr' (RF) samples, respectively. The total volatile contents were in the following order: RBR > RCG > RPP > RF. Four cultivars exhibited similar volatility profiles, with alcohols, alkanes, and esters as the major chemical groups, followed by aldehydes, aromatic hydrocarbons, ketones, benzene, and other compounds. Alcohols and aldehydes were quantitatively the two most abundant chemical groups that included the highest number and highest content of compounds. Different cultivars have different aromas, and RCG had high contents of phenyl acetate, rose oxide, trans-rose oxide, phenylethyl alcohol and 1,3,5-trimethoxybenzene, characterized by floral and rose descriptors. RBR contained a high content of phenylethyl alcohol, and RF contained a high content of 3,5-dimethoxytoluene. Hierarchical cluster analysis (HCA) of all volatiles showed that the three cultivars (RCG, RPP, and RF) had similar volatile characteristics and were significantly different from RBR. Differential metabolites among cultivars were screened based on the OPLS-DA model, and there were six main enriched pathways of differential metabolites: biosynthesis of secondary metabolites, monoterpenoid biosynthesis, metabolic pathways, limonene and pinene degradation, sesquiterpenoid and triterpenoid biosynthesis, and alpha-linolenic acid metabolism. The biosynthesis of secondary metabolites is the most differential metabolic pathway.

COVID-19 and the Mystery of Lumber Price Movements

The COVID-19 pandemic led to unprecedented changes in the U.S. price of softwood lumber by more than 300% between 2020 and 2022. The increased volatility of lumber prices after the COVID-19 outbreak remains unexplained. In this paper, we examine how a calibrated random walk can induce similar price volatility through the development of a stochastic process. As a preferred approach, we employ an event model to estimate the impact of COVID-19 and other key events on the price of softwood lumber. The econometric model serves to provide evidence that the price volatility of softwood lumber is not completely random, and we can instead attribute part of the variation to recent regional and global events. We found that, while COVID-19 did result in a price jump, it was smaller than a rainfall event that restricted imports from Canada, while import duties and other trade actions had no discernible impact on U.S. lumber prices.

Cut-and-pasting ligands: The structure/function relationships of a thermally robust Mo(VI) precursor

The bis(tert-butylimido)-molybdenum(VI) framework has previously been used for the successful atomic layer deposition (ALD) and chemical vapor deposition of many molybdenum-containing thin films. Here, we have prepared and fully characterized a new thermally robust bis(tert-butylimido)molybdenum(VI) complex, bis(tert-butylimido)-bis(N-2-(tert-butyliminomethyl)pyrrolato)-molybdenum(VI), (tBuN)2Mo(PyrIm)2 (1), that incorporates two N,N’-κ2-monoanionic ligands. The volatility and thermal stability of 1 were measured using thermogravimetric analysis and differential scanning calorimetry, where it was found to achieve a vapor pressure of 1 Torr at 212 °C and had an onset of thermal decomposition at 273 °C. A comparison of its thermal properties with those of the known ALD precursor (tBuN)2Mo(dpamd)2 (dpamd = N,N’-diisopropyl-acetamidinato) showed that 1 had similar volatility but a 78 °C improvement in thermal stability. Preliminary deposition experiments indicated that 1 should be a good ALD precursor; it exhibited self-limiting adsorption and did not decompose on the surface until at least 500 °C, features that will enable its use in the development of new high-temperature ALD processes.

Real-time metabolic monitoring under exhaustive exercise and evaluation of ventilatory threshold by breathomics: Independent validation of evidence and advances.

Breath analysis was coupled with ergo-spirometry for non-invasive profiling of physio-metabolic status under exhaustive exercise. Real-time mass-spectrometry based continuous analysis of exhaled metabolites along with breath-resolved spirometry and heart rate monitoring were executed while 14 healthy adults performed ergometric ramp exercise protocol until exhaustion. Arterial blood lactate level was analyzed at defined time points. Respiratory-cardiac parameters and exhalation of several blood-borne volatiles changed continuously with the course of exercise and increasing workloads. Exhaled volatiles mirrored ventilatory and/or hemodynamic effects and depended on the origin and/or physicochemical properties of the substances. At the maximum workload, endogenous isoprene, methanethiol, dimethylsulfide, acetaldehyde, butanal, butyric acid and acetone concentrations decreased significantly by 74, 25, 35, 46, 21, 2 and 2%, respectively. Observed trends in exogenous cyclohexadiene and acetonitrile mimicked isoprene profile due to their similar solubility and volatility. Assignment of anaerobic threshold was possible via breath acetone. Breathomics enabled instant profiling of physio-metabolic effects and anaerobic thresholds during exercise. Profiles of exhaled volatiles indicated effects from muscular vasoconstriction, compartmental distribution of perfusion, extra-alveolar gas-exchange and energy homeostasis. Sulfur containing compounds and butyric acid turned out to be interesting for investigations of combined diet and exercise programs. Reproducible metabolic breath patterns have enhanced scopes of breathomics in sports science/medicine.

Nickel-rich, volatile depleted iron meteorites: Relationships and formation processes

Ungrouped iron meteorites Tishomingo, Willow Grove, and Chinga, and group IVB iron meteorites, are Ni-rich. Similarities include enrichments of 10–100 × CI for some refractory siderophile elements, and equivalent depletions in more volatile siderophile elements. Superimposed on the overall enrichment/depletion trend, certain siderophile elements (P, W, Fe, Mo) are depleted relative to elements of similar volatility. All three ungrouped irons derive from parent bodies formed in the early Solar System. Willow Grove and Chinga are characterized by cosmic ray exposure corrected 182W/184W consistent with metal-silicate segregation on their parent bodies within 1–3 Myr of Solar System formation, within the age range determined for segregation of magmatic iron meteorite parent bodies, including group IVB irons. Tishomingo is characterized by a younger model age 4–5 Myr subsequent to Solar System formation, reflecting either late stage melting resulting from 26Al decay, or an impact resetting. The discovery of stishovite in Tishomingo, indicating exposure to a minimum shock pressure of 8–9 GPa, is consistent with the latter.Stishovite in Tishomingo and chromite included in troilite-daubréelite in IVB irons allows oxygen isotopic composition comparison between these meteorites. Different mass independent oxygen isotopic compositions of IVB irons and Tishomingo indicate genetically distinct parent bodies. By contrast, mass independent Mo isotopic compositions overlap within analytical uncertainties, indicating a similar, carbonaceous chondrite (CC) type genetic heritage. Molybdenum and 183W isotopic data for Chinga and Willow Grove indicate derivation from CC type parent bodies. Willow Grove shares Mo and 183W isotopic compositions with the Ni-rich South Byron Trio (SBT) grouplet and the Milton pallasite. These Ni-rich meteorites likely formed in the same general nebular environment as other CC planetesimals, likely the outer Solar System.Highly siderophile element (HSE) abundances of Willow Grove and Tishomingo are similar to some IVB meteorites, consistent with formation by moderate degrees of fractional crystallization from initial metallic melts with low S and P, and modestly fractionated HSE. The comparable HSE abundances of Tishomingo and Willow Grove to some IVB irons, yet substantially higher Ni concentrations, indicate formation on parent bodies with lower bulk HSE abundances or HSE concentration in proportionally smaller volumes of metal. HSE abundances in Chinga are considerably lower than in IVB irons, highly fractionated, and processes responsible for these remain elusive.For IVB irons and these ungrouped irons, high temperature condensation likely dominated the enrichment and depletion of the refractory and volatile siderophile elements, respectively. Parent body degassing may have also played a role. Relative depletion of volatile siderophile elements is not, however, a universal feature of high-Ni meteorites. The SBT and Milton pallasite are Ni-rich, but less depleted in the more volatile siderophile elements. Nickel enrichment was likely driven by oxidation of Fe metal during parent body accretion or core segregation. Oxidation of the Tishomingo and Willow Grove parent bodies may have occurred at ∼ IW + 1, indicated by relative Mo and W depletions due to metal/water reaction during differentiation. Late-stage reduction, indicated by the presence of Cr-bearing sulfides in Tishomingo and IVB irons, may have resulted from exhaustion of the oxidant.

An asymptotic perspective on risk pooling: Limitations and relationship to transshipments

In this article we provide a novel perspective on risk pooling approaches by characterizing and comparing their asymptotic performance, highlighting the conditions under which one approach dominates the other. More specifically, we determine the inventory policy and the expected total costs of systems under physical and information pooling as the number of locations grows. We show that physical pooling dominates information pooling in settings with no additional per-location costs for operating the centralized system. In the presence of such costs, however, information pooling becomes a viable alternative to physical pooling. Through asymptotic analysis, we also address the grouping problem, the division of a given set of non-identical locations into an ordered collection of mutually exclusive and collectively exhaustive subsets of predetermined sizes and demonstrate that homogeneous groups, comprising locations with similar demand volatility, achieve a lower expected total cost. Finally, the convergence of the expected total costs and the base stock levels under the two pooling approaches is demonstrated through a simple numerical illustration. Our analysis supports the assertion that it is important to consider not only the individual characteristics of each location in isolation, but also the interactions among them, when designing pooling systems.

A halogen budget of the bulk silicate Earth points to a history of early halogen degassing followed by net regassing

Halogens are important tracers of various planetary formation and evolution processes, and an accurate understanding of their abundances in the Earth's silicate reservoirs can help us reconstruct the history of interactions among mantle, atmosphere, and oceans. The previous studies of halogen abundances in the bulk silicate Earth (BSE) are based on the assumption of constant ratios of element abundances, which is shown to result in a gross underestimation of the BSE halogen budget. Here we present a more robust approach using a log-log linear model. Using this method, we provide an internally consistent estimate of halogen abundances in the depleted mid-ocean ridge basalts (MORB)-source mantle, the enriched ocean island basalts (OIB)-source mantle, the depleted mantle, and BSE. Unlike previous studies, our results suggest that halogens in BSE are not more depleted compared to elements with similar volatility, thereby indicating sufficient halogen retention during planetary accretion. According to halogen abundances in the depleted mantle and BSE, we estimate that ∼87% of all stable halogens reside in the present-day mantle. Given our understanding of the history of mantle degassing and the evolution of crustal recycling, the revised halogen budget suggests that deep halogen cycle is characterized by efficient degassing in the early Earth and subsequent net regassing in the rest of Earth history. Such an evolution of deep halogen cycle presents a major step toward a more comprehensive understanding of ancient ocean alkalinity, which affects carbon partitioning within the hydrosphere, the stability of crustal and authigenic minerals, and the development of early life.

Studies of volatility and vapour diffusion of chemicals with low volatility in the air

The results of the work give an overview of the phenomenon of volatility and one-dimensional diffusion of toxic substances with a volatility range from 500 to approx. 1100 mg/m3 , in relation to chemical warfare agents. The purpose of this work was to initially investigate the diffusion rate of lowvolatile substances in laboratory conditions, with the best possible representation of real conditions. The obtained results allowed us to assess potential contamination with such substances at a height of up to 150 cm from the surface of the emission source. For this reason, there was built an apparatus for taking gaseous samples at various distances from the emission source of the tested substance. Nontoxic sulfur mustard imitators of similar volatility were used for the experiments: dodecane, dimethyl glutarate, diethyl succinat, and dibenzyl ether. For each of these substances, the concentration of saturated vapour was determined and the time to achieve the liquid-vapour equilibrium in various configurations of research equipment was estimated. The analyses of the concentrations of the tested substances in the air were carried out using a gas chromatograph coupled with an atomic emission detector. The studies have shown that substances with low volatility can quickly rise to high altitudes.

Institutional Investors and Infrastructure Investing

AbstractInstitutional investors expect infrastructure to deliver long-term stable returns but gain exposure to infrastructure predominantly through finite-horizon closed private funds. The cash flows delivered by infrastructure funds display similar volatility and cyclicality as other private equity investments, and their performance similarly depends on quick deal exits. Despite weak risk-adjusted performance and failure to match the supposed characteristics of infrastructure assets, closed funds have received more commitments over time, particularly from public investors. Public institutional investors perform worse than private institutional investors. ESG preferences and regulations explain 25$\%$–40$\%$ of their increased allocation to infrastructure and 30$\%$ of their underperformance.

The volatility in financial time series based on granule complex network

The volatility is one of the essential characteristics of financial time series, which is vital for the knowledge acquisition from financial data. However, since the high noise and nonsteady features, the volatility identification of financial time series is still a challenging problem. In this paper, from a perspective of granule complex network, a novel approach is proposed to study this problem. First, numeric time series is structured into fuzzy information granules (FIGs), where the segments of time series in each granule would own similar volatility features. Second, by using the transfer relations among granules, granule complex network is to be constructed, which intuitively describes the transfer processes among the different volatility patterns. Third, a novel community detection algorithm is applied to divide the granule complex networks, where granules with frequent mutual transfers would belong to the same granule community. Finally, Markov chain model is carried out to analyze the higher level of transfer processes among different granule communities, which would further describe the larger-scale transitions of volatility in overall financial time series. An empirical study of the proposed system is applied in the Shanghai stock index market, where volatility patterns of financial data can be effectively acquired and the corresponding transfer processes can be analyzed by means of the granule communities.

Evaporation thermodynamics of the tetraoctylphosphonium bis(trifluoromethansulfonyl)imide([P8888]NTf2) and tetraoctylphosphonium nonafluorobutane-1-sulfonate ([P8888]NFBS) ionic liquids

The evaporation/thermaldecompositionbehaviour of twoionicliquids with phosphoniumcation (PhosphoniumIonicLiquids, PhosphoniumILs,), namelytetraoctylphosphonium bis(trifluoromethansulfonyl)imide ([P8888]NTf2) and tetraoctylphosphonium perfluorobutylphosphonate ([P8888]NFBS) wasstudied by thermogravimetryand by the effusion-basedtechniques Knudsen Effusion Mass Spectrometry (KEMS) and Knudsen Effusioni Mass Loss (KEML). KEMS spectra show that no appreciable release of decomposition products occurs up to the highest temperature reached in the experiments (225 °Cfor [P8888]NTf2 and 262 °C [P8888]NFBS). Evaporation by loss of intact ion pair was detected at temperatures as low as 174 and 188 °C for the two compounds, much lower than the onset temperatures evaluated by the TG traces (383 °Cfor[P8888]NTf2 and 407 °C [P8888]NFBS). In the explored temperature intervals (185 °C – 242 °C for [P8888]NTf2 and 180 °C – 230 °C for [P8888]NFBS) the vapor pressures measured by KEML are very similar for the two compounds, falling in the ranges 1.8 10−3–0.19 Pa and 1.1 10−3–0.096 Pa. By monitoring the vapor pressure as a function of temperature, the following values of the evaporation enthalpies were determined at the average experimental temperature (227 °C):158.1 ± 2.0 kJ/mol ([P8888]NTf2) and 161.2 ± 2.2 kJ/mol ([P8888]NFBS), which confirm the very similar volatility of the two compounds under equilibrium conditions.

Volatility Co-Movement in Stock Markets

The volatility and log-price collective movements among stocks of a given market are studied in this work using co-movement functions inspired by similar functions in the physics of many-body systems, where the collective motions are a signal of structural rearrangement. This methodology is aimed to identify the cause of coherent changes in volatility or price. The function is calculated using the product of the variations in volatility (or price) of a pair of stocks, averaged over all pair particles. In addition to the global volatility co-movement, its distribution according to the volatility of the stocks is also studied. We find that stocks with similar volatility tend to have a greater co-movement than stocks with dissimilar volatility, with a general decrease in co-movement with increasing volatility. On the other hand, when the average volatility (or log-price) is subtracted from the stock volatility (or log-price), the co-movement decreases notably and becomes almost zero. This result, interpreted within the background of many body physics, allows us to identify the index motion as the main source for the co-movement. Finally, we confirm that during crisis periods, the volatility and log-price co-movement are much higher than in calmer periods.

Cross-Section of Option Returns and the Volatility Risk Premium

This paper presents a robust new finding that delta-hedged equity option returns include a volatility risk premium. To separate volatility risk premia from confounding effects, we estimate conditional quantile curves of implied volatilities using machine learning. We find that a zero-cost trading strategy that is long (short) in the portfolio with low (high) implied volatility -- conditional on the options' moneyness and realized volatility -- produces an economically and statistically significant average monthly return. Using conditional quantile curves not only helps in distinguishing volatility risk premia from other effects, most notably realized volatility, it also leads to returns that are higher than those reported in previous work on similar volatility strategies.