Name
Abstract | ||
|---|---|---|
this paper we concentrate on the latter by analyzing the profitability of a purevolatility trading strategy which is delta-neutral and independent of an option pricingmodel, for the German stock index DAX. Several very different methods rangingfrom linear and non-linear, real-valued models to symbolic models of volatilitychangesare applied to predict the change in volatility to the next trading day andto gain profits by buying or selling straddles accordingly. The trading performance... |
Year | DOI | Venue |
|---|---|---|
2000 | 10.1109/CIFER.2000.844586 | CIFEr |
Keywords | Field | DocType |
financial data processing,stock markets,DAX German stock index,historical volatility,implied volatility,option pricing model,profitability,real-valued models,statistical significance,symbolic models,trading performance,trading volatility,transaction costs | Stochastic volatility,Implied volatility,Financial economics,Economics,Volatility swap,Volatility smile,Forward volatility,Variance swap,Volatility (finance),Volatility risk premium | Conference |
Citations | PageRank | References |
1 | 0.37 | 0 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Christian Schittenkopf | 1 | 55 | 6.95 |
| Tino P. | 2 | 1606 | 155.22 |
| Georg Dorffner | 3 | 461 | 103.97 |