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A New Index of Option Implied Absolute Deviation 期权隐含绝对偏差新指数
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-07-04 DOI: 10.1002/fut.22537
George Dotsis
{"title":"A New Index of Option Implied Absolute Deviation","authors":"George Dotsis","doi":"10.1002/fut.22537","DOIUrl":"10.1002/fut.22537","url":null,"abstract":"<p>This paper proposes a new index of forward looking absolute deviation extracted from option prices. The new index, named absolute deviation index (ADIX), is model-free and easy to compute using at-the-money call and put option prices. It is shown that the spread between volatility index (VIX) and ADIX captures departures from normality in the risk-neutral distribution and an empirical analysis using S&amp;P 500 options data for the time period 1996–2021 reveals that the spread carries significant forecasting ability with respect to future equity returns at short to medium horizons. Portfolio strategies that use the spread as a predictor of S&amp;P 500 returns outperform buy-and-hold strategies in an out-of-sample mean-variance asset allocation exercise.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 9","pages":"1543-1555"},"PeriodicalIF":1.8,"publicationDate":"2024-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22537","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141547388","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Cross-Asset Tandem Trading and Extraordinary Volatility 跨资产串联交易与超常波动性
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-07-03 DOI: 10.1002/fut.22532
Robert Garrison, Pankaj K. Jain, Mark Paddrik
{"title":"Cross-Asset Tandem Trading and Extraordinary Volatility","authors":"Robert Garrison,&nbsp;Pankaj K. Jain,&nbsp;Mark Paddrik","doi":"10.1002/fut.22532","DOIUrl":"10.1002/fut.22532","url":null,"abstract":"<div>\u0000 \u0000 <p>Cross-asset order flow provides an incremental and novel nonlinear price discovery channel. Structural vector autoregressions of synchronized intraday message data reveal distinct patterns in the comovement of order flow and its influence on returns and volatility. While cross-market order flow usually reconciles prices through small-stakes arbitrage in periods of low volatility and comovement during medium volatility associated with information arrival, it can exacerbate price dislocation from fundamental values during extraordinary volatility. While applying market-wide circuit breakers (MWCB) mitigates the extreme negative spillovers by jointly halting markets, we identify room for further harmonization during the MWCB market reopening process.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 9","pages":"1508-1542"},"PeriodicalIF":1.8,"publicationDate":"2024-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141552431","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Feedback Trading: The Intraday Case of Retail Derivatives 反馈交易：零售衍生品的日内交易案例
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-06-26 DOI: 10.1002/fut.22536
Rainer Baule, Bart Frijns, Sebastian Schlie
{"title":"Feedback Trading: The Intraday Case of Retail Derivatives","authors":"Rainer Baule,&nbsp;Bart Frijns,&nbsp;Sebastian Schlie","doi":"10.1002/fut.22536","DOIUrl":"10.1002/fut.22536","url":null,"abstract":"<p>We analyze retail order flow in terms of intraday feedback trading patterns. Using a unique data set of exchange trades and high-frequency quotes, we first provide evidence that retail investors actively and consciously respond to short-term intraday returns in a negative feedback, contrarian fashion. Second, we show that some retail investors also feedback trade on tick-by-tick returns. Third, we find that on average this behavior leads to significant losses on the day they open a position. These losses are primarily due to the bid-ask spread and to investors' timing inability, but not to market makers taking advantage of investors.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 9","pages":"1487-1507"},"PeriodicalIF":1.8,"publicationDate":"2024-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22536","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141508754","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Pay-for-Success Contract: A Valuation Note 成功付费合同：估值说明
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-06-24 DOI: 10.1002/fut.22534
Andreas Andrikopoulos, Andrianos E. Tsekrekos
{"title":"The Pay-for-Success Contract: A Valuation Note","authors":"Andreas Andrikopoulos,&nbsp;Andrianos E. Tsekrekos","doi":"10.1002/fut.22534","DOIUrl":"10.1002/fut.22534","url":null,"abstract":"<div>\u0000 \u0000 <p>Pay-for-success contracts are social and financial innovations in social policy and capital markets, respectively. This paper argues that they exhibit option-like payoffs and implements standard option-pricing arguments in assessing the value of investing in pay-for-success contracts. Sensitivities vis-à-vis contract specifications are reflected in the valuation formula and help reach investment and social policy decisions. These sensitivities are demonstrated via a numerical application that uses parameters drawn from the Massachusetts Juvenile Justice Pay for Success Initiative, the largest pay-for-success initiative in the United States at the time of its launch.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 9","pages":"1465-1473"},"PeriodicalIF":1.8,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141508756","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Forecasting Crude Oil Volatility Using the Deep Learning-Based Hybrid Models With Common Factors 利用基于深度学习的通用因子混合模型预测原油波动性
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-06-24 DOI: 10.1002/fut.22529
Ke Yang, Nan Hu, Fengping Tian
{"title":"Forecasting Crude Oil Volatility Using the Deep Learning-Based Hybrid Models With Common Factors","authors":"Ke Yang,&nbsp;Nan Hu,&nbsp;Fengping Tian","doi":"10.1002/fut.22529","DOIUrl":"https://doi.org/10.1002/fut.22529","url":null,"abstract":"<div>\u0000 \u0000 <p>Based on empirical evidence of the Chinese commodity futures volatility dynamics, we propose a novel and flexible hybrid model, denoted as SAE-HAR-DL, which combines a supervised autoencoder (AE) with the deep learning-based HAR model framework to capture essential common factor information and uses the reconstruction error of the AE component as a regularizer to enhance the generalization ability of the testing subsample. The empirical findings strongly support the effectiveness of this model in accurately forecasting crude oil futures volatility in the post-COVID-19 era, compared to the HAR, HAR-PCA, and HAR-DL models. Moreover, a robustness check also demonstrates the positive contribution of common factors to the volatility prediction of other commodity futures. Notably, we establish that these common factors act as effective regularizers, mitigating prediction losses within the HAR model in extreme risk events such as the COVID-19 pandemic and the Russia–Ukraine conflict.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1429-1446"},"PeriodicalIF":1.8,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141565730","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Closed-Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks 具有随机流动性风险的随机波动条件下方差和波动率互换的闭式公式
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-06-24 DOI: 10.1002/fut.22531
Sha Lin, Xin-Jiang He
{"title":"Closed-Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks","authors":"Sha Lin,&nbsp;Xin-Jiang He","doi":"10.1002/fut.22531","DOIUrl":"10.1002/fut.22531","url":null,"abstract":"<div>\u0000 \u0000 <p>We construct a stochastic volatility model considering stochastic liquidity risks when valuing variance and volatility swaps with discrete sampling. We base our model on Heston stochastic volatility, which is adopted for the modeling of stock prices when the market is perfectly liquid. Stock dynamics are further revised by discounting their prices through the employment of mean reverting market liquidity. We convert the stock dynamics under the physical measure into the one under a risk-neutral measure via measure transform, with which the analytical valuation of variance and volatility swaps is realized. By taking the limit of sampling frequency, we further consider how both swaps with continuous sampling can be priced. Numerical implementation is finally carried out, with which the capability of the constructed model in capturing the influence of the two common types of financial risks can be clear.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1447-1461"},"PeriodicalIF":1.8,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141508755","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Effect of Anti-Procyclical Central Counterparty Margins On Trading 反周期中央对手方保证金对交易的影响
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-06-24 DOI: 10.1002/fut.22533
Aniket Bhanu
{"title":"The Effect of Anti-Procyclical Central Counterparty Margins On Trading","authors":"Aniket Bhanu","doi":"10.1002/fut.22533","DOIUrl":"10.1002/fut.22533","url":null,"abstract":"<div>\u0000 \u0000 <p>The last decade has seen substantial research and debates on the procyclicality of Central Counterparty (CCP) margins, but these are limited to the sensitivity of margin models to market conditions. This paper establishes the effect of feedback loop between the sensitivity of margin models and trading behavior. It utilizes unique design and high-frequency data from Indian markets to conduct an event study surrounding the revisions in the margin models to enhance their anti-procyclicality (APC) characteristics. The analysis shows that current period volatility influences position exits in the subsequent period and vice-versa. The analysis further shows that for the same price movement, position exits are lowered under stronger APC margin. The effect is weaker for participants having variation losses, where limiting losses may be an additional incentive to exit positions in addition to rise in initial margins. The findings support the argument that better APC characteristics of CCP margins can attenuate volatility.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 9","pages":"1474-1486"},"PeriodicalIF":1.8,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141508757","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Journal of Futures Markets: Volume 44, Number 7, July 2024 期货市场期刊》：第 44 卷第 7 号，2024 年 7 月
IF 1.9 4区 经济学
Journal of Futures Markets Pub Date : 2024-06-06 DOI: 10.1002/fut.22433
{"title":"Journal of Futures Markets: Volume 44, Number 7, July 2024","authors":"","doi":"10.1002/fut.22433","DOIUrl":"https://doi.org/10.1002/fut.22433","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 7","pages":"1095"},"PeriodicalIF":1.9,"publicationDate":"2024-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22433","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141286853","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options 为百慕大期权定价的一离最小二乘蒙特卡洛算法
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-05-23 DOI: 10.1002/fut.22515
Jeechul Woo, Chenru Liu, Jaehyuk Choi
{"title":"Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options","authors":"Jeechul Woo,&nbsp;Chenru Liu,&nbsp;Jaehyuk Choi","doi":"10.1002/fut.22515","DOIUrl":"10.1002/fut.22515","url":null,"abstract":"<p>The least squares Monte Carlo (LSM) algorithm proposed by Longstaff and Schwartz (2001) is widely used for pricing Bermudan options. The LSM estimator contains undesirable look-ahead bias, and the conventional technique of avoiding it requires additional simulation paths. We present the leave-one-out LSM (LOOLSM) algorithm to eliminate look-ahead bias without doubling simulations. We also show that look-ahead bias is asymptotically proportional to the regressors-to-paths ratio. Our findings are demonstrated with several option examples in which the LSM algorithm overvalues the options. The LOOLSM method can be extended to other regression-based algorithms that improve the LSM method.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1404-1428"},"PeriodicalIF":1.8,"publicationDate":"2024-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141146396","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Modeling and forecasting stock return volatility using the HARGARCH model with VIX information 利用包含 VIX 信息的 HARGARCH 模型对股票收益波动性进行建模和预测
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2024-05-22 DOI: 10.1002/fut.22516
Zhiyuan Pan, Jun Zhang, Yudong Wang, Juan Huang
{"title":"Modeling and forecasting stock return volatility using the HARGARCH model with VIX information","authors":"Zhiyuan Pan,&nbsp;Jun Zhang,&nbsp;Yudong Wang,&nbsp;Juan Huang","doi":"10.1002/fut.22516","DOIUrl":"10.1002/fut.22516","url":null,"abstract":"<p>This study develops a novel approach for improving stock return volatility forecasts using volatility index information with the entropic tilting technique. Unlike traditional linear heteroskedasticity autoregressive methods with option-implied information, we first derive predictive densities from traditional models, and then tilt using both the first and second moments of the risk-neutral distribution, which enables us to capture the nonlinear effect in our specification. The empirical findings demonstrate a substantial enhancement in the forecasting accuracy of all models once the first- and second-moment information is considered, where the improvement is both statistically and economically significant. These results have important implications for risk management in well-established derivatives markets.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 8","pages":"1383-1403"},"PeriodicalIF":1.8,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141110719","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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