Michael Neumann

Independent

SCHOLARLY PAPERS

5

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1,072

SSRN CITATIONS
Rank 47,192

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Top 47,192

in Total Papers Citations

9

CROSSREF CITATIONS

5

Scholarly Papers (5)

Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 49 Posted: 31 Dec 2010 Last Revised: 12 Mar 2012
Independent and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 574 (70,154)
Citation 11

Abstract:

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Implied volatility surface, Market efficiency, Model confidence set, Option strategies, Risk-neutral skewness, Risk-neutral kurtosis

Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options

Journal of Financial and Quantitative Analysis, Forthcoming
Posted: 12 Mar 2012
Independent and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

Abstract:

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Implied volatility surface, Market efficiency, Model confidence set, Option strategies, Risk-neutral skewness, Risk-neutral kurtosis

2.

Jumps in Option Prices and Their Determinants: Real-Time Evidence from the E-Mini S&P 500 Option Market

Number of pages: 65 Posted: 17 Dec 2013 Last Revised: 29 Jul 2019
King's College, London, University of Manchester - Manchester Business School, Independent and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 265 (169,812)
Citation 2

Abstract:

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Co-Jumps, Jumps, Informed Traders, Liquidity, Option Markets, Scheduled News Announcements

3.

Financial Sector Tail Risk and Real Economic Activity: Evidence from the Option Market

Number of pages: 46 Posted: 07 Oct 2014
Michael Neumann
Independent
Downloads 233 (192,600)

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Predictability, Real Economic Activity, Option Markets, Systemic Risk, Financial Institutions

4.

Go with the Flow or Hide from the Tide? Trading Flow as a Signal in Style Investing

Factor Investing, pp. 155-180, E. Jurczenko, ed., Elsevier, 2017
Posted: 28 Sep 2020
Bank of America - Bank of America Merrill Lynch, Independent and ADIA

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Multifactor strategies, Single-factor strategies, Style flows, Style portfolios

5.

Jumps in Option Prices and Their Determinants: Real-Time Evidence From the E-Mini S&P 500 Options Market

Journal of Financial Markets, Vol. 46, 2019
Posted: 04 Dec 2019
King's College, London, University of Manchester - Manchester Business School, Independent and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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Asymmetric information, co-jump, limit order book market, liquidity, option market, news announcement