An idea of risk-neutral momentum and market fear
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DOI: 10.1016/j.frl.2019.101347
Abstract: Abstract This study models a link between ex-ante autocorrelation in expected returns and risk-neutral momentum, enabling a straightforward interpretation of market sentiment. Correspondingly, concepts of fractal Brownian motion are applied to option implied volatility term… read more here.
Keywords: risk neutral; market; finance; neutral momentum ... See more keywords