Research Catalog¶

This is the single canonical browse page for persistent work records. Each work appears once under a deterministic primary topic; secondary topics and the bibliographic source remain visible in the table.

Works: 43

Option Returns¶

Work	Year	Other domains	Methods	Facets	Bibliographic source
The cross-section of individual equity option returns	2026	Volatility, Hedging Exposure Risk, Microstructure	Research Methods	Instrument Single Stock Options	Journal of Empirical Finance
Volatility Disagreement in the Options Market	2026	Volatility, Hedging Exposure Risk	Financial Ml	Structure Straddle	NBER Asset Pricing
Jump risk premia in the presence of clustered jumps	2025	Volatility, Hedging Exposure Risk	—	—	arXiv Quantitative Finance History

Volatility¶

Work	Year	Other domains	Methods	Facets	Bibliographic source
A Geometry-Aware Residual Correction of Hagan's SABR Implied Volatility Formula	2026	—	Financial Ml, Research Methods	—	arXiv Quantitative Finance History
Finance-Informed Neural Network: Learning the Geometry of Option Pricing	2026	Hedging Exposure Risk	Financial Ml, Research Methods	—	arXiv Quantitative Finance History
Machine learning for option pricing: an empirical investigation of network architectures	2026	—	Financial Ml	—	arXiv Quantitative Finance History
Quantum Reservoir Computing for Realized Volatility Forecasting	2026	—	Financial Ml	—	arXiv Quantitative Finance History
Synthetic American Option Pricing via Jump-HMM-Driven Heston Implied Volatility	2026	—	Financial Ml, Research Methods	—	arXiv Quantitative Finance History
Volatility Forecasting and Return Prediction under Market Regimes: Evidence from High-Frequency Chinese Equity Data	2026	—	Financial Ml, Research Methods	—	arXiv Quantitative Finance History
Volatility Surface Reconstruction using Deep Learning under No-Arbitrage Constraints	2026	—	Financial Ml	—	arXiv Quantitative Finance History
Deep Learning Option Pricing with Market Implied Volatility Surfaces	2025	—	Financial Ml	Instrument Index Options	arXiv Quantitative Finance History
Operator Deep Smoothing for Implied Volatility	2025	—	Financial Ml	—	arXiv Quantitative Finance History
From GARCH to Neural Network for Volatility Forecast	2024	—	Financial Ml	—	arXiv Quantitative Finance History
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility	2024	—	Research Methods	Instrument Vix Options	Journal of Futures Markets
Whack-a-mole Online Learning: Physics-Informed Neural Network for Intraday Implied Volatility Surface	2024	—	Financial Ml	—	arXiv Quantitative Finance History
Volatility Forecasting with Machine Learning and Intraday Commonality	2023	—	Financial Ml, Research Methods	—	Journal of Financial Econometrics
HARNet: A Convolutional Neural Network for Realized Volatility Forecasting	2022	—	Financial Ml	—	arXiv Quantitative Finance History
Option Pricing with State-dependent Pricing Kernel	2022	—	Research Methods	Instrument Index Options	arXiv Quantitative Finance History
Incorporating prior financial domain knowledge into neural networks for implied volatility surface prediction	2021	—	Financial Ml	—	arXiv Quantitative Finance History
Multivariate Realized Volatility Forecasting with Graph Neural Network	2021	—	Financial Ml	—	arXiv Quantitative Finance History
On Calibration Neural Networks for extracting implied information from American options	2020	—	Financial Ml	—	arXiv Quantitative Finance History
The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets	2020	—	Research Methods	—	arXiv Quantitative Finance History
Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism	2019	—	Financial Ml	—	arXiv Quantitative Finance History
Implied volatility surface predictability: the case of commodity markets	2019	—	Research Methods	—	arXiv Quantitative Finance History
Risk Everywhere: Modeling and Managing Volatility	2018	—	Research Methods	—	The Review of Financial Studies
Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling	2017	—	Financial Ml	—	arXiv Quantitative Finance History
Modeling and Forecasting Persistent Financial Durations	2012	—	Research Methods	—	arXiv Quantitative Finance History
THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE	2011	—	—	—	Mathematical Finance
Volatility Information Trading in the Option Market	2008	Microstructure	—	Instrument Single Stock Options	The Journal of Finance
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise	2005	—	Research Methods	—	The Review of Financial Studies

Institutional Execution¶

Work	Year	Other domains	Methods	Facets	Bibliographic source
High‐Frequency Trading around Large Institutional Orders	2019	—	—	—	The Journal of Finance

Microstructure¶

Work	Year	Other domains	Methods	Facets	Bibliographic source
Option market making with hedging-induced market impact	2026	Execution Costs	—	—	arXiv Quantitative Finance History
The Introduction of Derivative Market Manipulation Part II	2025	Lifecycle Infrastructure	—	—	JPX Futures and Options Reports
The Introduction of Derivative Market Manipulation Part I	2024	—	—	—	JPX Futures and Options Reports
MVA Transfer Pricing	2015	Execution Costs	—	—	arXiv Quantitative Finance History

Unclassified¶

Work	Year	Other domains	Methods	Facets	Bibliographic source
Axiomatic Market Making	2026	—	—	—	arXiv Quantitative Finance History
The Privacy Subsidy in Glosten-Milgrom: Bid-Ask Spread and Welfare under Flip-Noise Direction Observation	2026	—	Research Methods	—	arXiv Quantitative Finance History
The self-exciting nature of the bid-ask spread dynamics	2023	—	—	—	arXiv Quantitative Finance History
A Century of Evidence on Trend-Following Investing	2017	—	—	—	The Journal of Portfolio Management
Continuous-time Modeling of Bid-Ask Spread and Price Dynamics in Limit Order Books	2013	—	—	—	arXiv Quantitative Finance History
Time series momentum	2012	—	—	—	Journal of Financial Economics
Dynamics of Bid-ask Spread Return and Volatility of the Chinese Stock Market	2011	—	—	—	arXiv Quantitative Finance History
"Market making" behaviour in an order book model and its impact on the bid-ask spread	2010	—	—	—	arXiv Quantitative Finance History