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An Investigation of Simple Intraday Trading Strategies 简单日内交易策略的研究
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2014-08-28 DOI: 10.2139/ssrn.2488539
Chrilly Donninger
{"title":"An Investigation of Simple Intraday Trading Strategies","authors":"Chrilly Donninger","doi":"10.2139/ssrn.2488539","DOIUrl":"https://doi.org/10.2139/ssrn.2488539","url":null,"abstract":"This working paper investigates the performance of several published simple intraday trading strategies for S&P-500 futures. The general result is: The strategies do not work as advertised under realistic trading assumptions. The paper discusses some possible refinements. It is important to restrict the rules to specific market regimes. An appropriate regime-classifier is the Implied-Volatility-Term-Structure (IVTS) developed in previous working papers. The best strategy under investigation is a set of rules proposed by the Sibyl-Fund trader Siddharth Bhatia. But overall it seems to be difficult to develop a simple and attractive intraday strategy.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124018944","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
What If the Doctors of OTC Derivatives Themselves Fall Sick? 如果OTC衍生品的医生自己也生病了怎么办?
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2014-08-25 DOI: 10.2139/ssrn.2489778
P. D. Aditya
{"title":"What If the Doctors of OTC Derivatives Themselves Fall Sick?","authors":"P. D. Aditya","doi":"10.2139/ssrn.2489778","DOIUrl":"https://doi.org/10.2139/ssrn.2489778","url":null,"abstract":"After the 2008 financial crisis, more emphasis was given to OTC Derivatives market in order to make it more transparent and fail proof. To achieve the same, new laws and regulations were introduced and implemented in various parts of the world. One of the main requirements was central clearing of OTC Derivatives via CCPs. Though the objective was to avoid counterparty risk of default, no emphasis has been made till now to handle the situation if a clearing house itself defaults. This paper focuses on what happens if a clearing house defaults and possible plan of action by the Fed to tackle this situation.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133637334","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Robust Spread Option Pricing 稳健价差期权定价
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2014-07-23 DOI: 10.2139/ssrn.2404507
I. Kolpakov
{"title":"Robust Spread Option Pricing","authors":"I. Kolpakov","doi":"10.2139/ssrn.2404507","DOIUrl":"https://doi.org/10.2139/ssrn.2404507","url":null,"abstract":"I examine accuracy and robustness of European spread option pricing method of Hurd and Zhou (2010) for European spread options. This method approximates an indefinite bivariate integral by a sum over a uniform grid and the method's accuracy varies greatly depending on the choice of truncation bounds and the number of grid points. I find optimal parameters for a realistic sample of spread options and show that the pricing procedure can be made both faster and more robust by using a technique suggested in Andersen and Andreasen (2002), namely approximating the true distribution of log returns with a normal one and integrating the payoff transform against the difference of exact and approximating transforms.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131336476","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Ghost Calibration and Pricing Barrier Options and CDS in Spectrally One-Sided L'evy Models: The Parabolic Laplace Inversion Method 光谱单侧L'evy模型中的幽灵校准和定价障碍期权和CDS:抛物拉普拉斯反演方法
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2014-05-31 DOI: 10.2139/ssrn.2445318
M. Boyarchenko, S. Levendorskii
{"title":"Ghost Calibration and Pricing Barrier Options and CDS in Spectrally One-Sided L'evy Models: The Parabolic Laplace Inversion Method","authors":"M. Boyarchenko, S. Levendorskii","doi":"10.2139/ssrn.2445318","DOIUrl":"https://doi.org/10.2139/ssrn.2445318","url":null,"abstract":"Recently, the advantages of conformal deformations of the contours of integration in pricing formulas were demonstrated in the context of wide classes of Levy models and the Heston model. In the present paper, we construct efficient conformal deformations of the contours of integration in the pricing formulas for barrier options and CDS in the setting of spectrally one-sided Levy models, taking advantage of Rogers's trick [ J. Appl. Prob. , 2000, 37 , 1173-1180] that greatly simplifies calculation of the Wiener-Hopf factors. We extend the trick to wide classes of Levy processes of infinite variation with zero diffusion component. In the resulting formulas (both in the finite variation and the infinite variation cases), we make quasi-parabolic deformations as in Boyarchenko and Levendorskiĭ [ Int. J. Theor. Appl. Finance , 2013, 16 (3), 1350011], which greatly increase the rate of convergence of the integrals. We demonstrate that in many cases the proposed method is more accurate than the standard realization of Laplace inversion. We also exhibit examples in which the standard realization is so unstable that it cannot be used for any choice of the error control parameters. This may lead to a ghost calibration : a situation where a parameter set of a model is declared to be a 'good fit' to the data only because the errors of calibration and of the numerical method used for pricing (almost) cancel each other out.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"80 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131962823","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
The Economics of Collateral 抵押品经济学
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2014-04-21 DOI: 10.2139/ssrn.2427231
Ronald W. Anderson, Karin Jõeveer
{"title":"The Economics of Collateral","authors":"Ronald W. Anderson, Karin Jõeveer","doi":"10.2139/ssrn.2427231","DOIUrl":"https://doi.org/10.2139/ssrn.2427231","url":null,"abstract":"In this paper we study how the use of collateral is evolving under the influence of regulatory reform and changing market structure. We start with a critical review of the recent empirical literature on the supply and demand of collateral which has focussed on the issue of ‘collateral scarcity’. We argue that while limited data availability does not allow a comprehensive view of the market for collateral, it is unlikely that there is an overall shortage of collateral. However, it is quite possible that there may be bottlenecks within the system which mean that available collateral is immobilized in one part of the system and unattainable by credit-worthy borrowers. We then describe how these problems sometimes can be overcome by improved information systems and collateral transformation. We discuss how collateral management techniques differ between banks and derivatives markets infrastructures including, in particular, CCPs. In order to assess the impact of alternative institutional arrangements on collateral demand, we introduce a theoretical model of an OTC derivatives market consisting of investors and banks arrayed in several regions or market segments. We simulate this model under alternative forms meant to capture the implications of moving to mandatory CCP clearing and mandatory initial margin requirements for non-cleared OTC derivatives.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"35 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120917395","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 17
Open-End Knock-Outs on Bond Futures: Valuation, Properties and Estimation of Hidden Profit Drivers 债券期货的开放式淘汰制:估值、属性和潜在利润驱动因素的估计
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2014-04-21 DOI: 10.2139/ssrn.2427333
Oliver Entrop, Christian P. H. Peters, Marco Wilkens
{"title":"Open-End Knock-Outs on Bond Futures: Valuation, Properties and Estimation of Hidden Profit Drivers","authors":"Oliver Entrop, Christian P. H. Peters, Marco Wilkens","doi":"10.2139/ssrn.2427333","DOIUrl":"https://doi.org/10.2139/ssrn.2427333","url":null,"abstract":"This paper is the first on retail Structured Financial Products (SFPs) from the fixed-income area, namely open-end knock-outs (OEKOs) on government bond futures. We develop and apply a valuation algorithm for OEKOs to analyze the issuers' profit. On the basis of a simple superhedging strategy we disclose the profit drivers for the issuers. The crucial profit drivers, the 'margin factor' and the 'rollover fee', are set by the issuers and can be regarded directly as costs to the investors. But even disregarding these drivers there exists a 'hidden' interest gain. However, asymmetric jumps in the interest rate dynamics may lead to significant gap risks which can considerably lower the issuers' benefit, even below zero. Since the crucial profit drivers of OEKOs are not directly observable, we estimate them by analyzing an extensive data set of OEKO prices. Inter alia, depending on the issuer we find that the profit drivers can take values of up to 60% p.a. on average.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121159459","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Explaining CDS Prices Before and After the Lehman Default with a Simple Structural Model 用一个简单的结构模型解释雷曼违约前后CDS价格
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2014-02-05 DOI: 10.2139/ssrn.2391314
G. Gemmill, Miriam Marra
{"title":"Explaining CDS Prices Before and After the Lehman Default with a Simple Structural Model","authors":"G. Gemmill, Miriam Marra","doi":"10.2139/ssrn.2391314","DOIUrl":"https://doi.org/10.2139/ssrn.2391314","url":null,"abstract":"We examine what determines CDS prices over 2005-2012. To do this, we calibrate Merton's model in a novel way that allows for deviations from lognormality. The model works well in cross-section and time-series, both within and out-of sample. It confirms that systematic equity volatility is the major determinant of CDS prices. Before the Lehman default, all firms have CDS prices that are close to those set by the model (with small variations due to illiquidity and earnings-uncertainty). After the default, some firms continue to have CDS prices at model-predicted levels, but others are now more-strongly influenced by idiosyncratic factors and have much higher prices.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115542155","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Quanto Implied Volatility Smile Quanto隐含波动率微笑
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2014-01-30 DOI: 10.2139/ssrn.2388093
A. Cesarini, Stefano Giovannitti
{"title":"Quanto Implied Volatility Smile","authors":"A. Cesarini, Stefano Giovannitti","doi":"10.2139/ssrn.2388093","DOIUrl":"https://doi.org/10.2139/ssrn.2388093","url":null,"abstract":"We propose a numerical procedure, addressed as copula integration method, to calculate quanto implied volatility adjustments. The method consists in a direct integration of the quanto vanilla payoff, using the bivariate terminal probability distribution of the asset and the relevant foreign exchange rate. The bivariate terminal distribution is obtained by coupling the marginal distributions of the two underlyings by means of a Gaussian copula. The asset and the foreign exchange rate marginal distributions are directly inferred from the corresponding Black-Scholes market volatility smiles. In order to obtain well defined marginal distributions, we propose an extrapolation method for the standard implied volatility outside the quoted region, which does not allow arbitrage opportunities. The validity of the copula integration method is established by comparing its predictions to exact results for quanto option prices, obtained by numerical computations in two realistic test cases, in which the dynamics of the assets is driven by a local volatility and a Heston stochastic volatility model.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"97 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134161506","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
On the Reverse U-Shaped Intraday Pattern of Volume and Volatility: Evidence from CSI 300 Index Futures Market 成交量与波动的逆u型盘中形态:来自沪深300指数期货市场的证据
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2014-01-28 DOI: 10.2139/ssrn.2386457
Zhijuan Chen, Hai Lin, Changfeng Ma
{"title":"On the Reverse U-Shaped Intraday Pattern of Volume and Volatility: Evidence from CSI 300 Index Futures Market","authors":"Zhijuan Chen, Hai Lin, Changfeng Ma","doi":"10.2139/ssrn.2386457","DOIUrl":"https://doi.org/10.2139/ssrn.2386457","url":null,"abstract":"In contrast to the U-shaped intraday pattern of volume and volatility documented by previous literature, we document a reverse U-shaped intraday pattern of volume and volatility during the afternoon session in Chinese newborn CSI 300 index futures market. We analyze the dominant contracts of CSI 300 index futures with tick-by-tick data. We use ranged and realized measure of volatility, and we measure volume by dollar volume, share volume and number of trades. We find that no matter which measure is adopted, both trading volume and volatility of CSI 300 index future show a reverse U-shaped in the afternoon session.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124769317","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The Information Content of Option Prices Regarding Future Stock Return Serial Correlation 期权价格对未来股票收益序列相关性的信息含量
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2014-01-01 DOI: 10.2139/ssrn.2384985
Scott Murray
{"title":"The Information Content of Option Prices Regarding Future Stock Return Serial Correlation","authors":"Scott Murray","doi":"10.2139/ssrn.2384985","DOIUrl":"https://doi.org/10.2139/ssrn.2384985","url":null,"abstract":"I investigate the relation between option prices and daily stock return serial correlation. I demonstrate that the variance ratio, calculated as the ratio of realized to implied stock return variance, has both a contemporaneous and predictive relation with stock return serial correlation. The ability of the variance ratio to predict future stock return serial correlation gives rise to a daily trading strategy that implements reversal trading on stocks predicted to exhibit large negative serial correlation and momentum trading on stocks with high predicted serial correlation. The trading strategy generates risk-adjusted returns in excess of 6.5% per year.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128684772","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","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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