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An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics
Carmine Ventre / Haochen Li / Maria Polukarov / Yi Cao
market microstructure / volatility forecastingResource overview

An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics

Paper2023

by Carmine Ventre, Haochen Li, Maria Polukarov, Yi Cao

Tags
market microstructurevolatility forecasting

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Understand this paper

Suggested foundations for volatility models and surfaces and market microstructure and execution. Specialist prerequisites vary by paper.

Before you read

  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. Order Books

    Read bid, ask, depth and queue-based market state.

  4. Order Flow and Adverse Selection

    Understand why fills and order flow can carry information.

Go further

  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. Market Impact

    Connect trading speed and size to execution cost.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Advanced Derivatives and Exotic Options Explore Market Microstructure and Execution

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