Journal of Economics and Finance

, Volume 25, Issue 3, pp 259–275 | Cite as

Implied volatility surfaces and market activity over time

  • Thierry Ané
  • Chiraz Labidi


An impressive body of the literature has investigated the patterns of changes in implied volatilities across strike prices and maturities. Although such studies try to explain the existence of the volatility skew and term structure, they remain silent about the evolution of the volatility surface as time goes by and market variables move. Relying on a technique of signal processing called Independent Component Analysis, we extract volatility modes that account for most of the variations in the shape of the surface. We then relate the magnitude of volatility changes along those modes to market activity.


Independent Component Analysis Option Price Stochastic Volatility Implied Volatility Strike Price 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Academy of Economics and Finance 2001

Authors and Affiliations

  • Thierry Ané
    • 1
  • Chiraz Labidi
    • 2
  1. 1.Institute of Banking and Financial ManagementHEC LausanneLausanneSwitzerland
  2. 2.ESSEC and University Paris IX DauphineCEREGParis Cedex 16France

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