Article Dans Une Revue Hyperion International Journal of Econophysics & New Economy Année : 2020

Self-Organized Critical Markets: Implied Volatility and Avalanche Intensity.

Résumé

Assuming self-organized criticality to characterize capital markets, this paper seeks to explain why equity implied volatility is a relevant proxy for avalanche intensity. Historical data analysis of the CBOE Volatility Index (VIX) shows that implied volatility spikes are distributed following a power law, making financial stress similar to earthquakes as anticipated long ago by Bak.

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hal-03352468 , version 1 (23-09-2021)

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  • HAL Id : hal-03352468 , version 1

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Romain Bocher. Self-Organized Critical Markets: Implied Volatility and Avalanche Intensity.. Hyperion International Journal of Econophysics & New Economy, 2020, 13 (2), pp.45-50. ⟨hal-03352468⟩

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