An Analysis On The Intraday Trading Activity Of Vix Derivatives
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An Analysis On The Intraday Trading Activity Of Vix Derivatives
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Author : Dian-Xuan Kao
language : en
Publisher:
Release Date : 2017
An Analysis On The Intraday Trading Activity Of Vix Derivatives written by Dian-Xuan Kao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
We investigate the relation between trading activity in the VIX derivative markets and changes in the VIX index under a high-frequency framework. We find a significant relation between the signed trading variables of VIX futures and the contemporaneous changes in the VIX index. In addition, the net signed trading variables of VIX futures are significant predictors of future changes in the VIX index. Our results provide support for the informational role of VIX futures and evidence that trading activity in VIX options is likely caused by temporary liquidity shocks rather than the likelihood of informed trading.
Trading Vix Derivatives
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Author : Russell Rhoads
language : en
Publisher: John Wiley & Sons
Release Date : 2011-08-09
Trading Vix Derivatives written by Russell Rhoads and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-09 with Business & Economics categories.
A guide to using the VIX to forecast and trade markets Known as the fear index, the VIX provides a snapshot of expectations about future stock market volatility and generally moves inversely to the overall stock market. Trading VIX Derivatives will show you how to use the Chicago Board Options Exchange's S&P 500 volatility index to gauge fear and greed in the market, use market volatility to your advantage, and hedge stock portfolios. Engaging and informative, this book skillfully explains the mechanics and strategies associated with trading VIX options, futures, exchange traded notes, and options on exchange traded notes. Many market participants look at the VIX to help understand market sentiment and predict turning points. With a slew of VIX index trading products now available, traders can use a variety of strategies to speculate outright on the direction of market volatility, but they can also utilize these products in conjunction with other instruments to create spread trades or hedge their overall risk. Reviews how to use the VIX to forecast market turning points, as well as reveals what it takes to implement trading strategies using VIX options, futures, and ETNs Accessible to active individual traders, but sufficiently sophisticated for professional traders Offers insights on how volatility-based strategies can be used to provide diversification and enhance returns Written by Russell Rhoads, a top instructor at the CBOE's Options Institute, this book reflects on the wide range of uses associated with the VIX and will interest anyone looking for profitable new forecasting and trading techniques.
Business Drivers In Promoting Digital Detoxification
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Author : Grima, Simon
language : en
Publisher: IGI Global
Release Date : 2024-01-10
Business Drivers In Promoting Digital Detoxification written by Grima, Simon and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-01-10 with Computers categories.
The rapid progression of the digital age has brought both benefits and drawbacks. While the convenience of constant connectivity and digital devices is undeniable, the increasing screen time poses health and well-being challenges. With a significant portion of the global population now regularly using the internet, concerns about issues like digital addiction, shorter attention spans, and lifestyle diseases have become urgent matters. Addressing these challenges and charting a sustainable path forward is imperative. Business Drivers in Promoting Digital Detoxification delves into contemporary initiatives across various industries that advocate for digital detox. This book showcases opportunities within this transformative trend, spanning from health and tourism to unexpected sectors. It not only highlights the necessity of digital detox for health but also reveals its potential as a gateway to innovative business ventures. Catering to academics, researchers, students, and professionals, this book serves as a guiding beacon in the complexities of the digital era. It not only clarifies the motivations behind the digital detox movement but also explores its implications. More than just insights, this book offers a roadmap to shape a healthier and sustainable future in our digitally connected world. Engage in this pivotal conversation, explore its pages, and gain the knowledge to drive meaningful change for yourself, your organization, and society as a whole.
Limit Order Book As A Market For Liquidity
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Author : Thierry Foucault
language : en
Publisher:
Release Date : 2001
Limit Order Book As A Market For Liquidity written by Thierry Foucault and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Liquidity (Economics) categories.
The New Palgrave Dictionary Of Money And Finance
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Author : John Eatwell
language : en
Publisher: Springer
Release Date : 1992-10-14
The New Palgrave Dictionary Of Money And Finance written by John Eatwell and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992-10-14 with Business & Economics categories.
The first reference work ever to be awarded the Eccles Prize for Excellence in Economic Writing from Columbia Business School. Continuing in the tradition of The New Palgrave , this 3-volume set provides an unparalleled guide to modern money, banking and finance. In over 1,000 substantial essays by leading academic and professional authorities, it provides the most comprehensive analysis available of contemporary theory and the fast-evolving global monetary and financial framework. In its scope and depth of coverage, it is indispensable for the academic and practitioner alike.
The Vix Index And Volatility Based Global Indexes And Trading Instruments A Guide To Investment And Trading Features
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Author : Matthew T. Moran
language : en
Publisher: CFA Institute Research Foundation
Release Date : 2020-04-28
The Vix Index And Volatility Based Global Indexes And Trading Instruments A Guide To Investment And Trading Features written by Matthew T. Moran and has been published by CFA Institute Research Foundation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-04-28 with Business & Economics categories.
During the past two decades, the Cboe Volatility Index (VIX® Index), a key measure of investor sentiment and 30-day future volatility expectations, has generated much investor attention because of its unique and powerful features. The introduction of VIX futures in 2004, VIX options in 2006, and other volatility-related trading instruments provided traders and investors access to exchange-traded vehicles for taking long and short exposures to expected S&P 500 Index volatility for a particular time frame. Certain VIX-related tradable products may provide benefits when used as tools for tail-risk hedging, diversification, risk management, or alpha generation. Gauges of expected stock market volatility for various regions include the VIX Index (United States), AXVI Index (Australia), VHSI Index (Hong Kong), NVIX Index (India) and VSTOXX Index (Europe). All five of these volatility indexes had negative correlations with their related stock indexes price movements, and all five volatility indexes rose more than 50% in 2008. Although the five volatility indexes are not investable, investors can explore VIX-based benchmark indexes that show the performance of hypothetical investment strategies using VIX futures or options. Before investing in volatility-related products, investors should closely study the pricing, roll cost, and volatility features of the tradable products and read the applicable prospectuses and risk disclosure statements.
Trading Volatility
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Author : Colin Bennett
language : en
Publisher:
Release Date : 2014-08-17
Trading Volatility written by Colin Bennett and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-08-17 with categories.
This publication aims to fill the void between books providing an introduction to derivatives, and advanced books whose target audience are members of quantitative modelling community. In order to appeal to the widest audience, this publication tries to assume the least amount of prior knowledge. The content quickly moves onto more advanced subjects in order to concentrate on more practical and advanced topics. "A master piece to learn in a nutshell all the essentials about volatility with a practical and lively approach. A must read!" Carole Bernard, Equity Derivatives Specialist at Bloomberg "This book could be seen as the 'volatility bible'!" Markus-Alexander Flesch, Head of Sales & Marketing at Eurex "I highly recommend this book both for those new to the equity derivatives business, and for more advanced readers. The balance between theory and practice is struck At-The-Money" Paul Stephens, Head of Institutional Marketing at CBOE "One of the best resources out there for the volatility community" Paul Britton, CEO and Founder of Capstone Investment Advisors "Colin has managed to convey often complex derivative and volatility concepts with an admirable simplicity, a welcome change from the all-too-dense tomes one usually finds on the subject" Edmund Shing PhD, former Proprietary Trader at BNP Paribas "In a crowded space, Colin has supplied a useful and concise guide" Gary Delany, Director Europe at the Options Industry Council
Trading Against The Crowd
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Author : John F. Summa
language : en
Publisher: John Wiley & Sons
Release Date : 2004-10-27
Trading Against The Crowd written by John F. Summa and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-10-27 with Business & Economics categories.
Efficient market theorists contend that markets are random and thus not predictable. With the publication of Trading Against theCrowd, however, noted author, economist, and professional trader John Summa convincingly shows that investor sentiment can be incorporated into profitable stock and stock market trading systems. In this groundbreaking book, Summa explains how to use popular gauges of crowd psychology, such as put/call ratios, option-implied volatility, short sales, investor surveys, and advisory opinion to trade against, or contrary to, prevailing market sentiment. He also makes compelling arguments against the efficient markets hypothesis with the presentation of his own quantitative weekly bear and bull news-flow intensity indices, which he builds from news scans. This data series, and other popular measures of crowd psychology, are processed through custom indicators that are programmed into profitable trading systems, such as Squeeze Play I & II, Tsunami Sentiment Wave, and the Fourth Estate. Trading Against the Crowd is the first book to provide a comprehensive assessment of investor crowd psychology, offering valuable market timing tools and trading techniques, including: MetaStock and Trade Station system and custom indicator code; comparative statistical studies of CBOE, OEX, and equity-only put/call ratios; straightforward instructions for combining price triggers with sentiment indicators; a practical guide to understanding put/call ratios, short sales, investor surveys, newsletter opinion, and stock market news-flow intensity; how to use LEAP options as trading vehicles to avoid use of stop loss orders; use of put/call ratios for trading the Treasury bond futures market; and test results and evaluation of trading system performance. Many of today’s professional money managers rely on investor sentiment for improved market timing. They know that at extremes of market sentiment, markets tend to be the most predictable.Trading Against the Crowd shows how you can begin to profit from these short- to medium-term sentiment waves generated by the actions of the speculative crowd. Put into practice powerful sentiment data using thoroughly back-tested trading systems, and rise above the herd mentality of the investor crowd, where potentially large profits await.
The Curious Case Of The Yen As A Safe Haven Currency
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Author : Mr.Dennis P. J. Botman
language : en
Publisher: International Monetary Fund
Release Date : 2013-11-06
The Curious Case Of The Yen As A Safe Haven Currency written by Mr.Dennis P. J. Botman and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-06 with Business & Economics categories.
During risk-off episodes, the yen is a safe haven currency and on average appreciates against the U.S. dollar. We investigate the proximate causes of yen risk-off appreciations. We find that neither capital inflows nor expectations of the future monetary policy stance can explain the yen’s safe haven behavior. In contrast, we find evidence that changes in market participants’ risk perceptions trigger derivatives trading, which in turn lead to changes in the spot exchange rate without capital flows. Specifically, we find that risk-off episodes coincide with forward hedging and reduced net short positions or a buildup of net long positions in yen. These empirical findings suggest that offshore and complex financial transactions should be part of spillover analyses and that the effectiveness of capital flow management measures or monetary policy coordination to address excessive exchange rate volatility might be limited in certain cases.
International Convergence Of Capital Measurement And Capital Standards
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Author :
language : en
Publisher: Lulu.com
Release Date : 2004
International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.