Principal component analysis of equity options on Dow-Jones firms reveals a strong factor structure. The first principal component explains 77% of the variation in the equity volatility level, 77% of the variation in the equity option skew, and 60% of the implied volatility term structure across...

Equity options display a strong factor structure. The first principal components of the equity volatility levels, skews, and term structures explain a substantial fraction of the cross-sectional variation. Furthermore, these principal components are highly correlated with the S&P500 index option...

We develop a tractable dynamic model of an index option market maker with limited capital and characterize how option prices depend on inventory risk and market maker wealth. The risk averse market maker absorbs positive demand by end users and requires a more negative variance risk premium when...

We propose a novel factor model for option returns. Option exposures are estimated nonparametrically and factor risk premia can vary nonlinearly with states. The model is estimated using regressions, with minimal assumptions on factor and option return dynamics. Using index options, we...

In this paper, we analyse the herding behaviour of two types of cryptocurrencies, referred to as "black/dirty" and "green/clean" based on their energy usage levels. Empirical results reveal that herding generally exists only in the dirty crypto markets, and is more significant in down markets....

This paper aims to serve as an exploratory agenda for future research on the financial economics of non-fungible token (NFT) from a scholarly perspective. By considering the current state of research on the financial characteristics of NFTs and drawing on pioneering research in the field of...

This paper examines the relationships between the Russian and other Central European (CE) and developed countries' equity markets over the 1995-2004 period.Along with the traditional Johansen and Juselius (1990) multivariate cointegration tests, we apply novel cointegration approaches, including...

We investigate key macroeconomic factors that impact the price returns of precious metals markets over a 20 year period. The markets investigated are gold, silver, platinum and palladium; whereas the macroeconomic factors accommodated business cycle, monetary environment and financial market...

In addition to a myriad of industrial uses, precious metals continue to play an important role in the global financial system; they are increasingly popular as an investment and form part of a well-diversified portfolio in addition to acting as central bank reserves. Understanding how...

The annual electricity consumption of cryptocurrency transactions has grown substantially in recent years, partially driven by the increasing difficulty in mining, but also driven by the large number of new market participants that have been attracted by the elevated prices of this developing...