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

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 18,322

SSRN RANKINGS

Top 18,322

in Total Papers Downloads

2,539

CITATIONS
Rank 26,983

SSRN RANKINGS

Top 26,983

in Total Papers Citations

9

Scholarly Papers (14)

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
Atom Investors LP
Downloads 417 (67,461)

Abstract:

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Hidden Markov Model, lambda distribution, volatility forecasting

2.

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
Atom Investors LP
Downloads 345 (84,363)
Citation 2

Abstract:

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

3.
Downloads 339 (86,069)
Citation 2

Abstract:

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

4.

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
Atom Investors LP
Downloads 260 (114,592)

Abstract:

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

5.

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
Atom Investors LP
Downloads 255 (116,957)
Citation 3

Abstract:

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lognormal cascade distribution, Taylor expansion, fat tail

6.

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
Atom Investors LP
Downloads 188 (157,037)

Abstract:

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

7.

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
Atom Investors LP
Downloads 153 (187,960)

Abstract:

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

8.

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
Atom Investors LP
Downloads 149 (192,140)

Abstract:

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

9.

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
Atom Investors LP
Downloads 133 (210,547)
Citation 1

Abstract:

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

10.

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
Atom Investors LP
Downloads 87 (283,462)

Abstract:

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

11.

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
Atom Investors LP
Downloads 77 (305,131)

Abstract:

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

12.

On the Elliptic Distribution and Its Application to Leptokurtic Financial Data

Number of pages: 57 Posted: 03 Dec 2015
Stephen H.T. Lihn
Atom Investors LP
Downloads 70 (322,020)

Abstract:

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

13.

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
Atom Investors LP
Downloads 50 (379,537)
Citation 1

Abstract:

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

14.

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

Number of pages: 18 Posted: 23 Oct 2018
Stephen H.T. Lihn
Atom Investors LP
Downloads 16 (532,358)

Abstract:

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