Speaker "SHENGQUAN ZHOU" Details Back



Factor Investing Using Options Implied Volatilities


The predictive power of option implied volatilities on stock returns have been extensively studied in literature. In this talk, we discuss a data-driven approach to factor investing based on implied volatility skews and their combinations.


Dr. ShengQuan Zhou joined the Bloomberg in 2012. Prior to that, he earned his Ph.D in physics from University of Illinois at Urbana-Champaign. At Bloomberg, ShengQuan's current research focuses on deriving financial trading signals from alternative data.