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Browsing by Author "Grover, Rohini"

Browsing by Author "Grover, Rohini"

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  • The Imprecision of volatility indexes 
    Grover, Rohini; Shah, Ajay (2014-08)
    Concerns about sampling noise arise when a VIX estimator is computed by aggregating several imprecise implied volatility estimates. We propose a bootstrap strategy to measure the imprecision of a model based VIX estimator. ...
  • The Informational role of algorithmic traders in the option market 
    Grover, Rohini (2015-05)
    This paper investigates the information role of algorithmic traders (AT) in the Nifty index option market.I analyse a unique data set to test for information-based trading by looking at the effect of net buying pressure ...
  • Liquidity considerations in estimating implied volatility 
    Grover, Rohini; Thomas, Susan (2012-06-04)
    Option markets have significant variation in liquidity across different option series. Illiquidity reduces the informativeness of the price. Price information for illiquid options is more noisy, and thus the implied ...
  • A Systematic approach to identify systemically important firms 
    Aggarwal, Natasha; Arora, Sanchit; Behl, Akhil; Grover, Rohini; Khanna, Shashwat; Thomas, Susan (2013-10)
    This paper uses the average of the percentile ranking of three measures of systemic risk { Granger Causality, Marginal Expected Shortfall,and Conditional Value at Risk { to calculate a single systemic risk index (SRI) for ...