The measurement of volatility is of fundamental importance in finance. The standard market practice adopted for the computation of a volatility index imposes to discard some option prices quoted in the market, resulting in a considerable loss of information. To overcome this drawback, we propose to resort to fuzzy regression methods in order to include all the available information and obtain an informative volatility index for the Italian stock market.
Towards a Fuzzy Volatility Index for the Italian Market / Muzzioli, Silvia; Gambarelli, Luca; De Baets, Bernard. - (2017). (Intervento presentato al convegno IEEE INTERNATIONAL CONFERENCE ON FUZZY SYSTEMS (FUZZ-IEEE 2017 ) tenutosi a Napoli nel LUGLIO 9-12, 2017).
Towards a Fuzzy Volatility Index for the Italian Market
MUZZIOLI, Silvia;GAMBARELLI, LUCA;
2017
Abstract
The measurement of volatility is of fundamental importance in finance. The standard market practice adopted for the computation of a volatility index imposes to discard some option prices quoted in the market, resulting in a considerable loss of information. To overcome this drawback, we propose to resort to fuzzy regression methods in order to include all the available information and obtain an informative volatility index for the Italian stock market.
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