MOMI 2017
Day: Monday, 27th of February
Maxime BONELLI
Ph.D
Title:
Asset Management: Improving Stock Market Volatility Estimates Using Trading Volumes
Contact:
KORIS
maxime.bonelli@koris-intl.com
Abstract:
Volatility is an ever-present risk measure in the asset management industry. Whether volatility is used as a key input of the allocation program or only as a requirement for risk management, volatility estimates can bear considerable consequences for investment professionals. In order to disentangle transient from persistent volatility variations, we present a two-factor volatility model to study the impact of news arrival and trading volume on stock returns variance. The common observation that large volumes are associated with high volatility is explained by the fact that unexpected shocks in volume increase volatility, which is not the case for expected volumes of trading. Finally, we find that unexpected shocks in volume and the persistent component of the model are both main drivers of volatility dynamics.
Content:
[gview file=”https://phd-seminars-sam.inria.fr/files/2017/03/Bonelli_MOMI_2017.pdf”]
