The Information Content of Derivatives Implied Tail Indices for Future Price Dynamics
Date Issued
2014
Date
2014
Author(s)
Li, Cheng-Lun
Abstract
One of the things investors fear the most is market crash. As the developmentof the financial product, more and more derivatives are actively traded. Those derivatives provide a way for investors to hedge their position. By observing
the trading data on the derivative markets, we might be able to extract the useful information regarding how the investors expect about futures. We built a model and use close to maturity and deep out of the money S&P500 call, S&P500 put, VIX call, and VIX put to calculate the tail indices. And we use these indices to predict the return and volatility of S&P500 Index. Overall, S&P500’s tail indices got more significant in the return prediction. On the prediction of realized volatility, we got perfect result on all four tail indices. And our result act more like predicting return volatility rather than the direction (gain or loss).
Subjects
VIX
S&P500
選擇權
尾端指數
實現波動度
報酬率
極端事件
巨幅波動
Type
thesis
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