Gaining alpha from index market by using the implied information of stock options
Date Issued
2016
Date
2016
Author(s)
Pan, Yen-Shao
Abstract
The article light up a way that we can gain the indicators extracting useful information by intuitive function to predict index market. We use these indicators to construct some strategies which can gain return well. Because of the low frequency of changing position, our strategies enjoy the lower transaction cost. The more profitability and less ruin risk will give large stock position of insurance more safer than before, so we think insurance will be interesting to our strategies.
Subjects
trading strategy
excess return
index market
Type
thesis
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ntu-105-R02723061-1.pdf
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23.32 KB
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Adobe PDF
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