Implied volatility surfaces and market activity over time

Thierry Ané, Chiraz Labidi

Research output: Contribution to journalArticlepeer-review

8 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)259-275
Number of pages17
JournalJournal of Economics and Finance
Issue number3
Publication statusPublished - 2001
Externally publishedYes

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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