Quant Letter: May 2024, Week-1
Weekly (44th Edition)
ArXiv
Finance
New Price Jump Classes Discovery with Wavelets: A new method using wavelet coefficients to study stock price jumps reveals features of volatility and suggests that many simultaneous price jumps in different stocks are due to an internal contagion mechanism. (2024-04-25, shares: 6
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Joint Calibration for SPX and VIX Derivatives: A proposed mode…
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