Event Vol Decay Manager
Using real-time data analytics the Event Vol Decay Manager models
the size and breadth of market volatility around a known economic
event, such as an earnings announcement for a stock or a
governmental economic release.
The Event Vol Decay Manager is still in the research and
development phase, but its goals are twofold:
• To model the excess volatility associated with each event –
event days vs non-event days
• To manage the decay process of volatility during the trading day
immediately before and after an event occurs.