{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,8,2]],"date-time":"2025-08-02T03:59:13Z","timestamp":1754107153987,"version":"3.37.3"},"reference-count":39,"publisher":"Springer Science and Business Media LLC","issue":"1","license":[{"start":{"date-parts":[[2024,3,11]],"date-time":"2024-03-11T00:00:00Z","timestamp":1710115200000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0"},{"start":{"date-parts":[[2024,3,11]],"date-time":"2024-03-11T00:00:00Z","timestamp":1710115200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0"}],"funder":[{"DOI":"10.13039\/100007543","name":"Grantov\u00e1 Agentura, Univerzita Karlova","doi-asserted-by":"publisher","award":["21-10768S"],"award-info":[{"award-number":["21-10768S"]}],"id":[{"id":"10.13039\/100007543","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100021856","name":"Ministero dell\u2019Universit\u00e0 e della Ricerca","doi-asserted-by":"publisher","award":["MIUR-ex60% 2022 sci.rep. Sebastiano Vitali"],"award-info":[{"award-number":["MIUR-ex60% 2022 sci.rep. Sebastiano Vitali"]}],"id":[{"id":"10.13039\/501100021856","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/100015968","name":"Universit\u00e0 degli studi di Bergamo","doi-asserted-by":"crossref","id":[{"id":"10.13039\/100015968","id-type":"DOI","asserted-by":"crossref"}]}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Comput Manag Sci"],"published-print":{"date-parts":[[2024,6]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>This paper focuses on\u00a0market changes due to exogenous effects. The standard implied volatility is shown to be insufficient for a\u00a0proper detection and analysis of this type of risk. This is mainly because such changes are usually dominated by endogenous effects coming from a\u00a0specific trading mechanism or natural market dynamics. A methodologically unique approach based on artificial options that always have a\u00a0constant time to maturity is proposed and explicitly defined. The key principle is to use interpolated volatilities, which can effectively eliminate instabilities due to the natural market dynamics while the changes caused by the exogenous causes are preserved. Formal statistical tests for distinguishing significant effects are proposed under different theoretical and practical scenarios. Statistical theory, computational and algorithmic details, and comprehensive empirical comparisons together with a real data illustration are all presented.<\/jats:p>","DOI":"10.1007\/s10287-024-00505-2","type":"journal-article","created":{"date-parts":[[2024,3,11]],"date-time":"2024-03-11T10:01:51Z","timestamp":1710151311000},"update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Using interpolated implied volatility for analysing exogenous market changes"],"prefix":"10.1007","volume":"21","author":[{"given":"Mat\u00fa\u0161","family":"Maciak","sequence":"first","affiliation":[]},{"given":"Sebastiano","family":"Vitali","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2024,3,11]]},"reference":[{"issue":"1","key":"505_CR1","doi-asserted-by":"publisher","first-page":"184","DOI":"10.1214\/07-AOS568","volume":"37","author":"Y Ait-Sahalia","year":"2009","unstructured":"Ait-Sahalia Y, Jacod J (2009) Testing for jumps in a discretely observed process. Annal Stat 37(1):184\u2013222","journal-title":"Annal Stat"},{"issue":"4","key":"505_CR2","doi-asserted-by":"publisher","first-page":"821","DOI":"10.2307\/2951764","volume":"61","author":"DWK Andrews","year":"1993","unstructured":"Andrews DWK (1993) Tests for parameter instability and structural change with unknown change point. Econometrica 61(4):821\u2013858","journal-title":"Econometrica"},{"issue":"1","key":"505_CR3","doi-asserted-by":"publisher","first-page":"27","DOI":"10.3905\/jwm.2003.320471","volume":"6","author":"G Appel","year":"2003","unstructured":"Appel G (2003) How to identify significant market turning points using the moving average convergence-divergence indicator or MACD. J Wealth Manage 6(1):27\u201336","journal-title":"J Wealth Manage"},{"issue":"22","key":"505_CR4","doi-asserted-by":"publisher","first-page":"543","DOI":"10.1007\/s00180-007-0061-0","volume":"4","author":"M Benko","year":"2007","unstructured":"Benko M, Fengler MR, H\u00e4rdle W, Kopa M (2007) On extracting information implied in options. Comput Stat 4(22):543\u2013553","journal-title":"Comput Stat"},{"issue":"1","key":"505_CR5","doi-asserted-by":"publisher","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"F Black","year":"1973","unstructured":"Black F, Scholes M (1973) The pricing of options and corporate liabilities. J Polit Econ 81(1):637\u2013654","journal-title":"J Polit Econ"},{"key":"505_CR6","doi-asserted-by":"publisher","first-page":"564","DOI":"10.1016\/j.najef.2017.08.012","volume":"42","author":"M Brigida","year":"2017","unstructured":"Brigida M, Pratt WR (2017) Fake news. North American J Econ Financ 42:564\u2013573","journal-title":"North American J Econ Financ"},{"issue":"2","key":"505_CR7","doi-asserted-by":"publisher","first-page":"839","DOI":"10.1111\/0022-1082.00228","volume":"55","author":"M Britten-Jones","year":"2000","unstructured":"Britten-Jones M, Neuberger A (2000) Option prices, implied price processes, and stochastic volatility. J Financ 55(2):839\u2013866","journal-title":"J Financ"},{"key":"505_CR8","unstructured":"CBOE. 2003. \u201cThe Cboe Volatility Index - VIX.\u201d CVOE White Paper"},{"issue":"5","key":"505_CR9","doi-asserted-by":"publisher","first-page":"955","DOI":"10.1016\/j.jspi.2012.11.004","volume":"143","author":"J Chan","year":"2013","unstructured":"Chan J, Horv\u00e1th L, Hu\u0161kov\u00e1 M (2013) Darling-Erd\u00f6s limit results for change-point detection in panel data. J Stat Plann Inference 143(5):955\u2013970","journal-title":"J Stat Plann Inference"},{"key":"505_CR10","unstructured":"Chio Pat\u00a0Tong (2022) \u201cA comparative study of the MACD-base trading strategies: evidence from the US stock market.\u201d arXiv preprintarXiv:2206.12282"},{"issue":"1","key":"505_CR11","doi-asserted-by":"publisher","first-page":"1111","DOI":"10.1080\/13504850600993598","volume":"15","author":"TL Chong","year":"2008","unstructured":"Chong TL, Ng WK (2008) Technical analysis and the London stock exchange: testing the MACD and RSI rules using the FT30. Adv Econ Lett 15(1):1111\u20131114","journal-title":"Adv Econ Lett"},{"issue":"1","key":"505_CR12","doi-asserted-by":"publisher","first-page":"73","DOI":"10.1080\/135184797337543","volume":"3","author":"CJ Corrado","year":"1997","unstructured":"Corrado CJ, Su T (1997) Implied volatility skews and stock return skewness and kurtosis implied by stock option prices. European J Financ 3(1):73\u201385","journal-title":"European J Financ"},{"key":"505_CR13","volume-title":"Limit theorems in change-point analysis","author":"M Cs\u00f6rg\u00f6","year":"1997","unstructured":"Cs\u00f6rg\u00f6 M, Horv\u00e1th L (1997) Limit theorems in change-point analysis. Wiley, Chichester"},{"issue":"1","key":"505_CR14","doi-asserted-by":"publisher","first-page":"331","DOI":"10.1016\/j.jeconom.2011.06.014","volume":"164","author":"Y Fan","year":"2011","unstructured":"Fan Y, Fan J (2011) Testing and detecting jumps based on a discretely observed process. J Economet 164(1):331\u2013344","journal-title":"J Economet"},{"key":"505_CR15","volume-title":"Semiparametric Modeling of Implied Volatility","author":"MR Fengler","year":"2005","unstructured":"Fengler MR (2005) Semiparametric Modeling of Implied Volatility. Springer-Verlag, Berlin, Heidelberg"},{"key":"505_CR16","doi-asserted-by":"crossref","unstructured":"Fengler MR (2012) \u201cOption data and modeling BSM implied volatility.\u201d In Handbook of Computational Finance, edited by J.C. Duan, W.\u00a0H\u00e4rdle, and J.\u00a0Gentle, Berlin, 117\u2013142. Springer","DOI":"10.1007\/978-3-642-17254-0_6"},{"issue":"2","key":"505_CR17","doi-asserted-by":"publisher","first-page":"242","DOI":"10.1016\/j.jeconom.2014.09.003","volume":"184","author":"MR Fengler","year":"2015","unstructured":"Fengler MR, Hin LY (2015) Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints. J Economet 184(2):242\u2013261","journal-title":"J Economet"},{"issue":"21","key":"505_CR18","doi-asserted-by":"publisher","first-page":"1571","DOI":"10.1080\/09603107.2011.583216","volume":"21","author":"R F\u00fcss","year":"2011","unstructured":"F\u00fcss R, Mager F, Wohlenberg H, Zhao L (2011) The impact of macroeconomic announcements on implied volatility. Appl Financ Econ 21(21):1571\u20131580","journal-title":"Appl Financ Econ"},{"issue":"1","key":"505_CR19","doi-asserted-by":"publisher","first-page":"61","DOI":"10.1080\/14697688.2010.514005","volume":"12","author":"J Glaser","year":"2012","unstructured":"Glaser J, Heider P (2012) Arbitrage-free approximation of call price surfaces and input data risk. Quant Financ 12(1):61\u201373","journal-title":"Quant Financ"},{"issue":"9","key":"505_CR20","doi-asserted-by":"publisher","first-page":"1874","DOI":"10.1016\/j.physa.2009.12.061","volume":"389","author":"K Guhathakurta","year":"2010","unstructured":"Guhathakurta K, Bhattacharya B, Chowdhury AR (2010) Using recurrence plot analysis to distinguish between endogenous and exogenous stock market crashes. Physica A: Stat Mech Appl 389(9):1874\u20131882","journal-title":"Physica A: Stat Mech Appl"},{"key":"505_CR21","doi-asserted-by":"crossref","unstructured":"Homescu C (2011) \u201cImplied volatility surface: Construction methodologies and characteristics.\u201d SSRN Electronic Journal 2011 (07)","DOI":"10.2139\/ssrn.1882567"},{"issue":"4","key":"505_CR22","doi-asserted-by":"publisher","first-page":"631","DOI":"10.1111\/j.1467-9892.2012.00796.x","volume":"33","author":"L Horv\u00e1th","year":"2012","unstructured":"Horv\u00e1th L, Hu\u0161kov\u00e1 M (2012) Change-point detection in panel data. J Time Series Anal 33(4):631\u2013648","journal-title":"J Time Series Anal"},{"key":"505_CR23","doi-asserted-by":"crossref","unstructured":"Horv\u00e1th L, Horv\u00e1th Z, Hu\u0161kov\u00e1 M (2008) \u201cBeyond parametrics in interdisciplinary research: Festschrift in honor of Professor Pranab K. Sen.\u201d In Ratio tests for change point detection, edited by N.\u00a0Balakrishnan, E.A. Pe\u00f1a, and M.J. Silvapulle, Beachwood, 293\u2013304. Institute of Mathematical Statistics","DOI":"10.1214\/193940307000000220"},{"issue":"3","key":"505_CR24","doi-asserted-by":"publisher","first-page":"96","DOI":"10.1006\/jmva.1998.1780","volume":"68","author":"L Horv\u00e1th","year":"1999","unstructured":"Horv\u00e1th L, Kokoszka P, Steinebach J (1999) Testing for changes in multivariate dependent observations with an application to temperature changes. J Multivar Anal 68(3):96\u2013119","journal-title":"J Multivar Anal"},{"issue":"6","key":"505_CR25","doi-asserted-by":"publisher","first-page":"587","DOI":"10.1080\/1351847X.2010.481463","volume":"16","author":"F Ielpo","year":"2010","unstructured":"Ielpo F, Guillaume S (2010) Mean-reversion properties of implied volatilities. European J Financ 16(6):587\u2013610","journal-title":"European J Financ"},{"issue":"4","key":"505_CR26","doi-asserted-by":"publisher","first-page":"587","DOI":"10.1080\/14697688.2018.1490807","volume":"19","author":"H Jang","year":"2019","unstructured":"Jang H, Lee J (2019) Generative Bayesian neural network model for risk-neutral pricing of American index options. Quant Financ 19(4):587\u2013603","journal-title":"Quant Financ"},{"issue":"4","key":"505_CR27","doi-asserted-by":"publisher","first-page":"1305","DOI":"10.1093\/rfs\/hhi027","volume":"18","author":"GJ Jiang","year":"2005","unstructured":"Jiang GJ, Tian YS (2005) The model-free implied volatility and its information content. Rev Financ Stud 18(4):1305\u20131342","journal-title":"Rev Financ Stud"},{"issue":"5","key":"505_CR28","first-page":"102","volume":"17","author":"N Kahal\u00e9","year":"2004","unstructured":"Kahal\u00e9 N (2004) An arbitrage-free interpolation of volatilities. Risk 17(5):102\u2013106","journal-title":"Risk"},{"issue":"4","key":"505_CR29","doi-asserted-by":"publisher","first-page":"559","DOI":"10.1007\/s10287-017-0283-8","volume":"14","author":"M Kopa","year":"2017","unstructured":"Kopa M, Vitali S, Tich\u00fd T, Hendrych R (2017) Implied volatility and state price density estimation: arbitrage analysis. Comput Manage Sci 14(4):559\u2013583","journal-title":"Comput Manage Sci"},{"key":"505_CR30","unstructured":"Kuepper J (2022) \u201cCBOE Volatility Index (VIX) Definition.\u201d Investopedia Retrieved 2022-12-01"},{"issue":"6","key":"505_CR31","doi-asserted-by":"publisher","first-page":"2535","DOI":"10.1093\/rfs\/hhm056","volume":"21","author":"SS Lee","year":"2008","unstructured":"Lee SS, Mykland PA (2008) Jumps in financial markets: a new nonparametric test and jump dynamics. Rev Financ Stud 21(6):2535\u20132563","journal-title":"Rev Financ Stud"},{"issue":"3","key":"505_CR32","doi-asserted-by":"publisher","first-page":"56","DOI":"10.3905\/jod.2015.22.3.056","volume":"22","author":"M Ludwig","year":"2015","unstructured":"Ludwig M (2015) Robust estimation of shape-constrained state price density surfaces. J Deriv 22(3):56\u201372","journal-title":"J Deriv"},{"issue":"11\/2021","key":"505_CR33","first-page":"166","volume":"20","author":"M Maciak","year":"2019","unstructured":"Maciak M (2019) Quantile LASSO with changepoints in panel data models applied to option pricing. Economet Stat 20(11\/2021):166\u2013175","journal-title":"Economet Stat"},{"issue":"4","key":"505_CR34","doi-asserted-by":"publisher","first-page":"1385","DOI":"10.1007\/s00362-020-01180-6","volume":"61","author":"Mat\u00fa\u0161 Maciak","year":"2020","unstructured":"Maciak Mat\u00fa\u0161, Pe\u0161ta Michal, Pe\u0161tov\u00e1 Barbora (2020) Changepoint in dependent and non-stationary panels. Stat Papers 61(4):1385\u20131407","journal-title":"Stat Papers"},{"issue":"2","key":"505_CR35","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1088\/1742-5468\/ac498c","volume":"2022","author":"R Marcaccioli","year":"2022","unstructured":"Marcaccioli R, Bouchaud JP, Benzaquen M (2022) Exogenous and endogenous price jumps belong to different dynamical classes. J Stat Mech: Theory Exp 2022(2):1\u201329","journal-title":"J Stat Mech: Theory Exp"},{"issue":"1","key":"505_CR36","doi-asserted-by":"publisher","first-page":"361","DOI":"10.1057\/jam.2016.12","volume":"17","author":"P Nystrup","year":"2016","unstructured":"Nystrup P, Hansen BW, Madsen H, Lindstr\u00f6m E (2016) Detecting change points in VIX and S &P 500: a new approach to dynamic asset allocation. J Asset Manage 17(1):361\u2013374","journal-title":"J Asset Manage"},{"issue":"3","key":"505_CR37","doi-asserted-by":"publisher","first-page":"299","DOI":"10.21136\/AM.2020.0296-19","volume":"65","author":"Michal Pe\u0161ta","year":"2020","unstructured":"Pe\u0161ta Michal, Pe\u0161tov\u00e1 Barbora, Maciak Mat\u00fa\u0161 (2020) Changepoint estimation for dependent and non-stationary panels. Appl Math 65(3):299\u2013310","journal-title":"Appl Math"},{"issue":"1","key":"505_CR38","doi-asserted-by":"publisher","first-page":"413","DOI":"10.1007\/s00180-017-0785-4","volume":"33","author":"Barbora Pe\u0161tov\u00e1","year":"2018","unstructured":"Pe\u0161tov\u00e1 Barbora, Pe\u0161ta Michal (2018) Abrupt change in mean using block bootstrap and avoiding variance estimation. Comput Stat 33(1):413\u2013441","journal-title":"Comput Stat"},{"issue":"491","key":"505_CR39","doi-asserted-by":"publisher","first-page":"1228","DOI":"10.1198\/jasa.2010.tm10103","volume":"105","author":"X Shao","year":"2010","unstructured":"Shao X, Zhang X (2010) Testing for change points in time series. J American Stat Assoc 105(491):1228\u20131240","journal-title":"J American Stat Assoc"}],"container-title":["Computational Management Science"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10287-024-00505-2.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s10287-024-00505-2\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10287-024-00505-2.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,6,22]],"date-time":"2024-06-22T12:13:26Z","timestamp":1719058406000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s10287-024-00505-2"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2024,3,11]]},"references-count":39,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2024,6]]}},"alternative-id":["505"],"URL":"https:\/\/doi.org\/10.1007\/s10287-024-00505-2","relation":{},"ISSN":["1619-697X","1619-6988"],"issn-type":[{"type":"print","value":"1619-697X"},{"type":"electronic","value":"1619-6988"}],"subject":[],"published":{"date-parts":[[2024,3,11]]},"assertion":[{"value":"17 July 2023","order":1,"name":"received","label":"Received","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"30 January 2024","order":2,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"11 March 2024","order":3,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}},{"order":1,"name":"Ethics","group":{"name":"EthicsHeading","label":"Declarations"}},{"value":"The authors have no conflicts of interest to declare that are relevant to the content of this article.","order":2,"name":"Ethics","group":{"name":"EthicsHeading","label":"Conflict of interest"}}],"article-number":"25"}}