Non-spanning expiries identify the no-event volatility surface while event-spanning quotes calibrate deterministic-time jumps, yielding better held-out pricing for SPX options around macro events than surface-absorbing or amortized alternatives.
Hutchinson, Andrew W
2 Pith papers cite this work. Polarity classification is still indexing.
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Pith papers citing it
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2026 2verdicts
UNVERDICTED 2representative citing papers
PTMC is a proposed Monte Carlo estimator that generates market-outcome distributions by simulating continuous double-auction interactions among persona-conditioned neural-policy bots whose heterogeneity is drawn from a learned distribution.
citing papers explorer
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Non-Spanning Identification of Scheduled Event Risk in Option Pricing
Non-spanning expiries identify the no-event volatility surface while event-spanning quotes calibrate deterministic-time jumps, yielding better held-out pricing for SPX options around macro events than surface-absorbing or amortized alternatives.
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Persona-Trained Monte Carlo: Estimating Market-Outcome Distributions via Swarms of Persona-Conditioned Neural Policy Bots in a Limit Order Book
PTMC is a proposed Monte Carlo estimator that generates market-outcome distributions by simulating continuous double-auction interactions among persona-conditioned neural-policy bots whose heterogeneity is drawn from a learned distribution.