{"id":"https://openalex.org/W2015674495","doi":"https://doi.org/10.1002/fut.20448","title":"The new market for volatility trading","display_name":"The new market for volatility trading","publication_year":2010,"publication_date":"2010-01-22","ids":{"openalex":"https://openalex.org/W2015674495","doi":"https://doi.org/10.1002/fut.20448","mag":"2015674495"},"language":"en","primary_location":{"id":"doi:10.1002/fut.20448","doi":"https://doi.org/10.1002/fut.20448","is_oa":false,"landing_page_url":"https://doi.org/10.1002/fut.20448","pdf_url":null,"source":{"id":"https://openalex.org/S136612413","display_name":"Journal of Futures Markets","issn_l":"0270-7314","issn":["0270-7314","1096-9934"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Futures Markets","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5020277265","display_name":"Jin E. Zhang","orcid":"https://orcid.org/0000-0002-8556-474X","observed_orcids":["https://orcid.org/0000-0002-8556-474X"]},"institutions":[{"id":"https://openalex.org/I889458895","display_name":"University of Hong Kong","ror":"https://ror.org/02zhqgq86","country_code":"HK","type":"education","lineage":["https://openalex.org/I889458895"]}],"countries":["HK"],"is_corresponding":true,"raw_author_name":"Jin E. Zhang","raw_affiliation_strings":["School of Economics and Finance, The University of Hong Kong, Hong Kong, P. R. China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economics and Finance, The University of Hong Kong, Hong Kong, P. R. China","institution_ids":["https://openalex.org/I889458895"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5078591837","display_name":"Jinghong Shu","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I146563203","display_name":"University of International Business and Economics","ror":"https://ror.org/05khqpb71","country_code":"CN","type":"education","lineage":["https://openalex.org/I146563203"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Jinghong Shu","raw_affiliation_strings":["School of International Trade and Economics, University of International Business and Economics, Beijing, P. R. China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of International Trade and Economics, University of International Business and Economics, Beijing, P. R. China","institution_ids":["https://openalex.org/I146563203"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5015928584","display_name":"Menachem Brenner","orcid":"https://orcid.org/0000-0002-4725-8143","observed_orcids":["https://orcid.org/0000-0002-4725-8143"]},"institutions":[{"id":"https://openalex.org/I57206974","display_name":"New York University","ror":"https://ror.org/0190ak572","country_code":"US","type":"education","lineage":["https://openalex.org/I57206974"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Menachem Brenner","raw_affiliation_strings":["Stern School of Business, New York University, New York, New York"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Stern School of Business, New York University, New York, New York","institution_ids":["https://openalex.org/I57206974"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5020277265"],"corresponding_institution_ids":["https://openalex.org/I889458895"],"apc_list":{"value":3240,"currency":"USD","value_usd":3240},"apc_paid":null,"fwci":10.5473,"has_fulltext":false,"cited_by_count":110,"citation_normalized_percentile":{"value":0.9784107,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":99},"biblio":{"volume":"30","issue":"9","first_page":"809","last_page":"833"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.510699987411499,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.510699987411499,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.46560001373291016,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.00839999970048666,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/vix-futures","display_name":"VIX futures","score":0.9760000109672546},{"id":"https://openalex.org/keywords/volatility-trading","display_name":"volatility trading","score":0.8259999752044678},{"id":"https://openalex.org/keywords/vix-index","display_name":"VIX index","score":0.8619999885559082},{"id":"https://openalex.org/keywords/volatility-term-structure","display_name":"term structure of volatility","score":0.8510000109672546},{"id":"https://openalex.org/keywords/futures-pricing","display_name":"futures pricing","score":0.38499999046325684}],"concepts":[{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.8572877049446106},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.668451726436615},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6667769551277161},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6172008514404297},{"id":"https://openalex.org/C2983622608","wikidata":"https://www.wikidata.org/wiki/Q2298435","display_name":"Futures market","level":3,"score":0.5871133804321289},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.47943490743637085},{"id":"https://openalex.org/C61797465","wikidata":"https://www.wikidata.org/wiki/Q1188986","display_name":"Term (time)","level":2,"score":0.4458341896533966},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1002/fut.20448","doi":"https://doi.org/10.1002/fut.20448","is_oa":false,"landing_page_url":"https://doi.org/10.1002/fut.20448","pdf_url":null,"source":{"id":"https://openalex.org/S136612413","display_name":"Journal of Futures Markets","issn_l":"0270-7314","issn":["0270-7314","1096-9934"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Futures Markets","raw_type":"journal-article"},{"id":"pmh:oai:hub.hku.hk:10722/129429","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10722/129429","pdf_url":null,"source":{"id":"https://openalex.org/S4377196271","display_name":"The HKU Scholars Hub (University of Hong Kong)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I889458895","host_organization_name":"University of Hong Kong","host_organization_lineage":["https://openalex.org/I889458895"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":22,"referenced_works":["https://openalex.org/W1503295912","https://openalex.org/W1831863664","https://openalex.org/W1909902729","https://openalex.org/W1915679344","https://openalex.org/W1981784683","https://openalex.org/W1984031927","https://openalex.org/W2047409629","https://openalex.org/W2062566995","https://openalex.org/W2064978316","https://openalex.org/W2066813789","https://openalex.org/W2083952901","https://openalex.org/W2099263939","https://openalex.org/W2110350174","https://openalex.org/W2159879678","https://openalex.org/W2225192465","https://openalex.org/W2584798035","https://openalex.org/W3021444882","https://openalex.org/W3121992266","https://openalex.org/W3124187578","https://openalex.org/W3124229059","https://openalex.org/W3125018527","https://openalex.org/W4253116103"],"related_works":["https://openalex.org/W2116697385","https://openalex.org/W61233970","https://openalex.org/W1924440210","https://openalex.org/W1981784683","https://openalex.org/W4253116103","https://openalex.org/W3179789988","https://openalex.org/W2107318397","https://openalex.org/W2041590175","https://openalex.org/W3121992266","https://openalex.org/W2800793078"],"abstract_inverted_index":{"Abstract":[0],"This":[1],"study":[2],"analyses":[3],"the":[4,19,26,39,51,73,96],"new":[5],"market":[6,15,107],"for":[7],"trading":[8],"volatility;":[9],"VIX":[10,22,32,35,44,55,67,102,117],"futures.":[11],"We":[12,29],"first":[13],"use":[14],"data":[16],"to":[17,115],"establish":[18,62],"relationship":[20,65],"between":[21,66],"futures":[23,33,45,56,68,103],"prices":[24,46,104],"and":[25,34,69,94],"index":[27],"itself.":[28],"observe":[30],"that":[31],"are":[36],"highly":[37],"correlated;":[38],"term":[40,52],"structure":[41,53],"of":[42,54,101],"average":[43],"is":[47,58],"upward":[48],"sloping,":[49],"whereas":[50],"volatility":[57],"downward":[59],"sloping.":[60],"To":[61],"a":[63,77,84],"theoretical":[64],"VIX,":[70,95],"we":[71],"model":[72,97],"instantaneous":[74],"variance":[75],"using":[76],"simple":[78],"square":[79],"root":[80],"mean\u2010reverting":[81],"process":[82],"with":[83],"stochastic":[85],"long\u2010term":[86,92],"mean":[87,93],"level.":[88],"Using":[89],"daily":[90],"calibrated":[91],"gives":[98],"good":[99],"predictions":[100],"under":[105],"normal":[106],"situation.":[108],"These":[109],"parameter":[110],"estimates":[111],"could":[112],"be":[113],"used":[114],"price":[116],"options.":[118],"\u00a9":[119],"2010":[120,128],"Wiley":[121],"Periodicals,":[122],"Inc.":[123],"Jrl":[124],"Fut":[125],"Mark":[126],"30:809\u2013833,":[127]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":7},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":7},{"year":2021,"cited_by_count":5},{"year":2020,"cited_by_count":10},{"year":2019,"cited_by_count":9},{"year":2018,"cited_by_count":9},{"year":2017,"cited_by_count":8},{"year":2016,"cited_by_count":11},{"year":2015,"cited_by_count":9},{"year":2014,"cited_by_count":6},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":9}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}
