We propose a methodological approach for capturing and analyzing the impacts of investment disputes on option markets. A dispute submission typically brings in unspecified uncertainty and additional risk. The implied volatility of options is shown to reflect such effects. However, nontrivial caution and nonstandard statis‑tical techniques are needed to analyze them appropriately. Artificial options with a constant (over time) maturity are introduced to emphasize these effects. A panel data representation of artificial implied volatility smiles is used to ensure the overall model flexibility, transparency, and its practical interpretability. Finally, a stochasti‑cally valid changepoint detection procedure is adopted to reveal significant impacts of an investment dispute on the overall riskiness and the stock price evolution. The results show significant impacts of the first tribunal meeting and the first procedural order of the disputes under consideration.

(2023). Investment disputes and their explicit role in option market uncertainty and overall risk instability [journal article - articolo]. In COMPUTATIONAL MANAGEMENT SCIENCE. Retrieved from https://hdl.handle.net/10446/241152

Investment disputes and their explicit role in option market uncertainty and overall risk instability

Vitali, Sebastiano
2023-01-01

Abstract

We propose a methodological approach for capturing and analyzing the impacts of investment disputes on option markets. A dispute submission typically brings in unspecified uncertainty and additional risk. The implied volatility of options is shown to reflect such effects. However, nontrivial caution and nonstandard statis‑tical techniques are needed to analyze them appropriately. Artificial options with a constant (over time) maturity are introduced to emphasize these effects. A panel data representation of artificial implied volatility smiles is used to ensure the overall model flexibility, transparency, and its practical interpretability. Finally, a stochasti‑cally valid changepoint detection procedure is adopted to reveal significant impacts of an investment dispute on the overall riskiness and the stock price evolution. The results show significant impacts of the first tribunal meeting and the first procedural order of the disputes under consideration.
articolo
2023
Drábek, Z.; Kopa, M.; Maciak, M.; Pešta, M.; Vitali, Sebastiano
(2023). Investment disputes and their explicit role in option market uncertainty and overall risk instability [journal article - articolo]. In COMPUTATIONAL MANAGEMENT SCIENCE. Retrieved from https://hdl.handle.net/10446/241152
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/241152
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