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Sponsored Artificial Intelligence: A Modern Approach, Global Edition Artificial Intelligence: A Modern Approach, Global Edition

Author

Nishath Akula

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#generative ai Open access Oct 2026

One Premium in Four Disguises: Volatility Arbitrage, Implied Correlation and the (Apparent) Decay of the Dispersion Premium, 2006–2026

Four strategies commonly sold as distinct forms of “volatility arbitrage” are an implied-versus-realised volatility trade, a Cboe Volatility Index (VIX) term-structure calendar, a correlation-gated dispersion proxy, and a skew-gated short-volatility trade. We test whether any of them earns a premium beyond the plain va...

Nishath Akula · 0 citations
#small language model Open access Oct 2026

Two Pre-Registered Nulls in Alternative Data: Insider Purchases and Legal-Risk Language in SEC Filings, 2014–2026

We report two pre-registered tests of popular alternative-data signals built from U.S. Securities and Exchange Commission (SEC) filings, each rebuilt end to end from public sources. Insider purchases: across 31,971 tradeable officer and director open-market purchases (Form 4, 2014 to mid-2026), the 63-day return in exc...

Nishath Akula · 0 citations
#generative ai Open access Oct 2026

Volatility Targeting Is Risk Management, Not Alpha: Evidence from 31 ETFs, a Semiconductor Stress Test and a Decade of Gold

Does scaling a single asset’s exposure by the inverse of its recent volatility improve its risk-adjusted return? We test causal daily volatility targeting on 31 liquid exchange-traded funds (ETFs) covering U.S. equity indices, sectors, Treasury and credit bonds, commodities, international equity and real estate, using...

Nishath Akula · 0 citations

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