Unlocking the Secrets of Skewness: Revolutionizing Trading Strategies Worldwide
The article explores the secrets of skewness in volatility arbitrage. It delves into the volatility problem in the stock market, discussing different approaches like stochastic volatility and jump diffusion. The researchers also tackle the inference problem, using option prices and stock prices to make predictions. They address the consistency problem, testing trading strategies based on skewness and kurtosis. The findings suggest that skewness trades can be profitable, especially in high volatility environments.