Browsing Working Papers by Author "Grover, Rohini"

Browsing Working Papers by Author "Grover, Rohini"

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  • 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. ...
  • 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 ...
  • 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 ...
  • 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 ...

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