研究目录

这是长期书目记录唯一的浏览清单。每篇研究只在一个确定的主主题下出现一次；其他主题和书目来源仍保留在表格中。

• 研究：48

期权收益、风险溢价与信号

研究	年份	其他领域	方法	检索标签	书目来源
The cross-section of individual equity option returns	2026	波动率、曲面动态与方差风险, 期权对冲、敞口与风险, 期权市场微观结构、做市与价格形成	研究方法与稳健性	标的 · 个股期权	Journal of Empirical Finance
Jump risk premia in the presence of clustered jumps	2025	波动率、曲面动态与方差风险, 期权对冲、敞口与风险	—	—	arXiv Quantitative Finance History

波动率、曲面动态与方差风险

研究	年份	其他领域	方法	检索标签	书目来源
A Geometry-Aware Residual Correction of Hagan's SABR Implied Volatility Formula	2026	—	金融机器学习, 研究方法与稳健性	—	arXiv Quantitative Finance History
Beyond the Skew-Stickiness Ratio: Transport Geometry of Spot-Driven Variance Surface Dynamics	2026	—	研究方法与稳健性	—	arXiv Quantitative Finance History
FEDS Paper: Capturing Heterogeneity: Machine Learning Approaches to Implied Volatility Forecasting	2026	—	金融机器学习, 研究方法与稳健性	期限 · Short-dated	Federal Reserve FEDS
Finance-Informed Neural Network: Learning the Geometry of Option Pricing	2026	期权对冲、敞口与风险	金融机器学习, 研究方法与稳健性	—	arXiv Quantitative Finance History
Machine learning for option pricing: an empirical investigation of network architectures	2026	—	金融机器学习	—	arXiv Quantitative Finance History
Quantum Reservoir Computing for Realized Volatility Forecasting	2026	—	金融机器学习	—	arXiv Quantitative Finance History
Synthetic American Option Pricing via Jump-HMM-Driven Heston Implied Volatility	2026	—	金融机器学习, 研究方法与稳健性	—	arXiv Quantitative Finance History
Universal Diffusion Models for Implied Volatility Surfaces: Learning Shared Dynamics Across Stocks	2026	期权组合、风险转移与资本效率	研究方法与稳健性	—	arXiv Quantitative Finance History
Volatility Forecasting and Return Prediction under Market Regimes: Evidence from High-Frequency Chinese Equity Data	2026	—	金融机器学习, 研究方法与稳健性	—	arXiv Quantitative Finance History
Volatility Surface Reconstruction using Deep Learning under No-Arbitrage Constraints	2026	—	金融机器学习	—	arXiv Quantitative Finance History
Deep Learning Option Pricing with Market Implied Volatility Surfaces	2025	—	金融机器学习	标的 · 指数期权	arXiv Quantitative Finance History
Operator Deep Smoothing for Implied Volatility	2025	—	金融机器学习	—	arXiv Quantitative Finance History
From GARCH to Neural Network for Volatility Forecast	2024	—	金融机器学习	—	arXiv Quantitative Finance History
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility	2024	—	研究方法与稳健性	标的 · VIX 期权	Journal of Futures Markets
Whack-a-mole Online Learning: Physics-Informed Neural Network for Intraday Implied Volatility Surface	2024	—	金融机器学习	—	arXiv Quantitative Finance History
Volatility Forecasting with Machine Learning and Intraday Commonality	2023	—	金融机器学习, 研究方法与稳健性	—	Journal of Financial Econometrics
HARNet: A Convolutional Neural Network for Realized Volatility Forecasting	2022	—	金融机器学习	—	arXiv Quantitative Finance History
Option Pricing with State-dependent Pricing Kernel	2022	—	研究方法与稳健性	标的 · 指数期权	arXiv Quantitative Finance History
Incorporating prior financial domain knowledge into neural networks for implied volatility surface prediction	2021	—	金融机器学习	—	arXiv Quantitative Finance History
Multivariate Realized Volatility Forecasting with Graph Neural Network	2021	—	金融机器学习	—	arXiv Quantitative Finance History
On Calibration Neural Networks for extracting implied information from American options	2020	—	金融机器学习	—	arXiv Quantitative Finance History
The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets	2020	—	研究方法与稳健性	—	arXiv Quantitative Finance History
Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism	2019	—	金融机器学习	—	arXiv Quantitative Finance History
Implied volatility surface predictability: the case of commodity markets	2019	—	研究方法与稳健性	—	arXiv Quantitative Finance History
Risk Everywhere: Modeling and Managing Volatility	2018	—	研究方法与稳健性	—	The Review of Financial Studies
Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling	2017	—	金融机器学习	—	arXiv Quantitative Finance History
Modeling and Forecasting Persistent Financial Durations	2012	—	研究方法与稳健性	—	arXiv Quantitative Finance History
THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE	2011	—	—	—	Mathematical Finance
Volatility Information Trading in the Option Market	2008	期权市场微观结构、做市与价格形成	—	标的 · 个股期权	The Journal of Finance
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise	2005	—	研究方法与稳健性	—	The Review of Financial Studies

期权对冲、敞口与风险

研究	年份	其他领域	方法	检索标签	书目来源
Deep Hedging Under Realistic Market Frictions: A Regime-Conditional Empirical Study of Dynamic Option Hedging on Bitcoin Options	2026	执行、流动性与交易成本	金融机器学习	—	arXiv Quantitative Finance History
Volatility Disagreement in the Options Market	2026	—	金融机器学习	结构 · Straddle	NBER Asset Pricing

机构大单、HFT 与执行成本

研究	年份	其他领域	方法	检索标签	书目来源
High‐Frequency Trading around Large Institutional Orders	2019	—	—	—	The Journal of Finance

期权市场微观结构、做市与价格形成

研究	年份	其他领域	方法	检索标签	书目来源
Option market making with hedging-induced market impact	2026	执行、流动性与交易成本	—	—	arXiv Quantitative Finance History
The Introduction of Derivative Market Manipulation Part II	2025	期权生命周期与市场基础设施	—	—	JPX Futures and Options Reports
The Introduction of Derivative Market Manipulation Part I	2024	—	—	—	JPX Futures and Options Reports
MVA Transfer Pricing	2015	执行、流动性与交易成本	—	—	arXiv Quantitative Finance History

unclassified

研究	年份	其他领域	方法	检索标签	书目来源
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	—	研究方法与稳健性	—	arXiv Quantitative Finance History
Best Practices For Automated Trading Risk Controls And System Safeguards	2024	—	—	—	FIA Principal Traders Group
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