Stephen H.T. Lihn

Atom Investors LP

Head of Risk and Quant Research

3711 S Mopac Expressway

Austin, TX 78746

United States

Novus Partners, Inc.

Managing Director

521 5th Ave

29th Floor

New York, NY 10175

United States

  • Atom Investors LP

    • Email
    • Tel: 917-603-4133

  • Novus Partners, Inc.

    • Email
    • Tel: 917-603-4133
SCHOLARLY PAPERS

17

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5,050

SSRN CITATIONS
Rank 35,888

SSRN RANKINGS

Top 35,888

in Total Papers Citations

5

CROSSREF CITATIONS

18

Scholarly Papers (17)

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1.

Hidden Markov Model for Financial Time Series and Its Application to S&P 500 Index

Quantitative Finance, Forthcoming
Number of pages: 21 Posted: 04 Jun 2017
Stephen H.T. Lihn and Stephen H.T. Lihn
Novus Partners, Inc.Atom Investors LP
Downloads 1,326 (24,411)

Abstract:

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Hidden Markov Model, lambda distribution, volatility forecasting

2.

The Special Elliptic Option Pricing Model and Volatility Smile

Number of pages: 54 Posted: 24 Dec 2015 Last Revised: 16 Jul 2016
Stephen H.T. Lihn and Stephen H.T. Lihn
Novus Partners, Inc.Atom Investors LP
Downloads 502 (90,990)

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distribution, option pricing, volatility smile, high frequency, fat tail, leptokurtic

3.

From Volatility Smile to Risk Neutral Probability and Closed Form Solution of Local Volatility Function

Quantitative Finance, Forthcoming
Number of pages: 31 Posted: 27 Jan 2017 Last Revised: 12 Mar 2017
Stephen H.T. Lihn and Stephen H.T. Lihn
Novus Partners, Inc.Atom Investors LP
Downloads 428 (109,946)
Citation 1

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Option Pricing, Lambda Distribution, Volatility Surface, Local Volatility Function, Stochastic Differential Equation, Fokker-Planck Equation, Mean-Reverting Process, Bessel Process

4.

A Theory of Asset Return and Volatility Under Stable Law and Stable Lambda Distribution

Quantitative Finance, Forthcoming
Number of pages: 65 Posted: 04 Oct 2017 Last Revised: 17 Nov 2017
Stephen H.T. Lihn and Stephen H.T. Lihn
Novus Partners, Inc.Atom Investors LP
Downloads 412 (114,936)

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stable law, stable count distribution, time series modeling, asset return distribution, stable lambda distribution, standardized Laplace process, VIX, SPX

5.

The Scale-Invariant Brownian Motion Equation and the Lognormal Cascade in the Stock Market

Number of pages: 49 Posted: 25 Jun 2008
Stephen H.T. Lihn and Stephen H.T. Lihn
Novus Partners, Inc.Atom Investors LP
Downloads 386 (123,803)
Citation 2

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lognormal cascade, fat tail, volatility clustering, autocorrelation, multifractal

6.

The Theory of Higher Order Lognormal Cascade Distribution and the Origin of Fat Tails in the Fluctuations of Stock Market

Number of pages: 32 Posted: 07 Jun 2009
Stephen H.T. Lihn and Stephen H.T. Lihn
Novus Partners, Inc.Atom Investors LP
Downloads 364 (132,328)
Citation 2

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lognormal cascade, fat tails, heavy tails, capital distribution, time series, stochastic portfolio theory

7.

Analytic Study and Numerical Method of the Skew Lognormal Cascade Distribution

Number of pages: 16 Posted: 25 Sep 2008 Last Revised: 14 Jan 2009
Stephen H.T. Lihn and Stephen H.T. Lihn
Novus Partners, Inc.Atom Investors LP
Downloads 325 (149,542)
Citation 6

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lognormal cascade distribution, Taylor expansion, fat tail

8.

Jubilee Tectonic Model: Forecasting Long-Term Growth and Mean Reversion in the U.S. Stock Market

Number of pages: 36 Posted: 22 Apr 2018
Stephen H.T. Lihn and Stephen H.T. Lihn
Novus Partners, Inc.Atom Investors LP
Downloads 208 (233,525)
Citation 3

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Forecast Model, Economic Cycle, Mean Reversion, CAPE, Stock Market, Interest Rate, Gold

9.

On a Poisson Subordinated Distribution for Precise Statistical Measurement of Leptokurtic Financial Data

Number of pages: 39 Posted: 03 Apr 2012 Last Revised: 17 Apr 2012
Stephen H.T. Lihn and Stephen H.T. Lihn
Novus Partners, Inc.Atom Investors LP
Downloads 190 (253,328)
Citation 1

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Subordination, Poisson distribution, financial data, fat tail, leptokurtotic, Student's t-distribution, Stable distribution, daily log-return, finite moment

10.

Real-time Recession Probability with Hidden Markov Model and Unemployment Momentum

The R Journal, Forthcoming
Number of pages: 8 Posted: 16 Aug 2019 Last Revised: 18 Aug 2019
Stephen H.T. Lihn and Stephen H.T. Lihn
Novus Partners, Inc.Atom Investors LP
Downloads 161 (292,539)
Citation 1

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Recession, Hidden Markov Model

11.

Business Cycles, Optimal Interest Rate, and Recession Forecast From Yield Curve, Unemployment, GDP, and Payrolls

Number of pages: 44 Posted: 18 Jul 2019
Stephen H.T. Lihn and Stephen H.T. Lihn
Novus Partners, Inc.Atom Investors LP
Downloads 157 (298,858)
Citation 2

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business cycle, GDP growth, interest rate policy, Treasury yield spread inversion, unemployment, weekly payrolls, UNRATE momentum, recession probability, recession forecast, GS10 floor hypothesis

12.

On the Network Effect in the Stock Market, The N^3/2 Power Law, and Optimal Volatility Equilibrium

Number of pages: 10 Posted: 18 Jan 2010 Last Revised: 24 Feb 2010
Stephen H.T. Lihn and Stephen H.T. Lihn
Novus Partners, Inc.Atom Investors LP
Downloads 157 (298,858)
Citation 1

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network effect, volatility, lognormal cascade, fat tails, heavy tails, stochastic portfolio theory, diversity

13.

Closed Form Solution and Term Structure for SPX Options

Quantitative Finance, Forthcoming
Number of pages: 35 Posted: 08 Jul 2016 Last Revised: 04 Oct 2016
Stephen H.T. Lihn and Stephen H.T. Lihn
Novus Partners, Inc.Atom Investors LP
Downloads 130 (347,206)

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SPX Options, Closed Form Solution, Volatility Smile, Term Structure

14.

On the Elliptic Distribution and Its Application to Leptokurtic Financial Data

Number of pages: 57 Posted: 03 Dec 2015
Stephen H.T. Lihn and Stephen H.T. Lihn
Novus Partners, Inc.Atom Investors LP
Downloads 114 (382,252)
Citation 4

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distribution, elliptic curves, timeseries, fat tail, leptokurtic, financial data, daily log-return

15.

Comment on P. K. Clark's Distribution of Lognormal-Normal Increments and the Lognormal Cascade Distribution

Number of pages: 4 Posted: 18 Jan 2010
Stephen H.T. Lihn and Stephen H.T. Lihn
Novus Partners, Inc.Atom Investors LP
Downloads 73 (507,775)
Citation 1

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P.K. Clark, subordinated process, lognormal cascade distribution

16.

Stable Count Distribution for the Volatility Indices and Space-Time Generalized Stable Characteristic Function

Number of pages: 68 Posted: 07 Aug 2020 Last Revised: 23 Nov 2020
Stephen H.T. Lihn and Stephen H.T. Lihn
Novus Partners, Inc.Atom Investors LP
Downloads 61 (557,789)

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stable count distribution, volatility index, fractional calculus, generalized stable characteristic function, the Wright function, the Fox-Wright function, the Mittag-Leffler function

17.

Jubilee: Forecasting Long-Term Growth of S&P 500 Index

Number of pages: 18 Posted: 23 Oct 2018
Stephen H.T. Lihn and Stephen H.T. Lihn
Novus Partners, Inc.Atom Investors LP
Downloads 56 (581,019)
Citation 2

Abstract:

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S&P 500, forecasting, long-term, yield curve inversion, yield spread