{"repo":"q-variance/challenge","free":true,"listed":false,"github":"https://github.com/q-variance/challenge","clone":"git clone https://github.com/q-variance/challenge.git","description":"Q-Variance Challenge: Can any continuous-time stochastic-volatility model reproduce q-variance?","language":"Jupyter Notebook","stars":10,"topics":["financial-mathematics","open-science","option-pricing","quantitative-finance","quantum-finance","stochastic-volatility","volatility-modeling","q-variance","wilmott-magazine"],"license":"MIT","category":"trading","readme_excerpt":"The Q-Variance Challenge Can any continuous-time model, using no more than three free parameters, reproduce what may be the most clear-cut empirical property of variance , namely the parabolic relationship known as q-variance ? This states that, for a sufficiently large data set of stock prices, the expected variance over a period $T$ is well-approximated by the equation $\\sigma^2(z) = \\sigma 0^2 + \\frac{(z-z 0)^2}{2}$ where $z = x/\\sqrt{T}$, and $x$ is the log price change over the period, adjusted for drift (the parameter $z 0$ accounts for small asymmetries). The figure above illustrates q-variance for stocks from the S&P 500, and periods $T$ of 1-26 weeks. Blue points are variance vs $z$ for individual periods, blue line is average variance as a function of $z$, red line is the q-variance curve. Q-variance affects everything from option pricing to how we measure and talk about volatility. Read the Q-Variance WILMOTT article for more details and examples. See the competition announcement (5-Dec-2025) in the WILMOTT forum here. For a list of submissions see here. To take part in the challenge, a suggested first step is to replicate the above figure using the code and market data supplied. Then repeat using simulated data from your model, and score it as described below. Prize: One-year subscription to WILMOTT magazine and publication of the technique. For questions on the competition, email admin@wilmott.com. ## Competition Update April 2026 Read this before submitting! The","default_branch":null,"files":null,"tree":[],"storefront":"/r/q-variance","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/q-variance/challenge/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}