Utilizing Topographic Finance to Understand Volatility

18 Pages Posted: 7 Apr 2015

See all articles by Paul Cottrell

Paul Cottrell

affiliation not provided to SSRN

Francesco Ungolo

Technische Universität München - Lehrstuhl für Finanzmathematik

Date Written: April 6, 2015

Abstract

Visual representation methods are a common problem in econometrics and finance in order to describe system dynamics. In this paper we address this problem by using the bi-harmonic oscillation process and the Brownian motion components, to generate a three-dimensional volatility surface.

The empirical analysis have been carried out on the S&P500 Index, the 10-year US Treasury Rates, and the West Texas Intermediate oil price, by using 85 daily closing observations, at the purpose to show how visualization of volatility can help understand longitudinal movements of price within different asset classes.

Keywords: Volatility, Equities, Bonds, Oil, Surfaces, Trading

JEL Classification: G00, C53, C88

Suggested Citation

Cottrell, Paul and Ungolo, Francesco, Utilizing Topographic Finance to Understand Volatility (April 6, 2015). Available at SSRN: https://ssrn.com/abstract=2590405 or http://dx.doi.org/10.2139/ssrn.2590405

Paul Cottrell (Contact Author)

affiliation not provided to SSRN

Francesco Ungolo

Technische Universität München - Lehrstuhl für Finanzmathematik ( email )

Parkring 11
Garching bei Muenchen, Bavaria 85748
Germany

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