The VIX Futures Basis:Evidence and Trading Strategies
نویسندگان
چکیده
منابع مشابه
Bounds for VIX futures given S&P 500 smiles
We derive sharp bounds for the prices of VIX futures using the full information of S&P 500 smiles. To that end, we formulate the model-free sub/superreplication of the VIX by trading in the S&P 500 and its vanilla options as well as the forward-starting log-contracts. A dual problem of minimizing/maximizing certain risk-neutral expectations is introduced and shown to yield the same value. The c...
متن کاملBoosting Trading Strategies performance using VIX indicator together with a dual-objective Evolutionary Computation optimizer
In this study a Multi-Objective Evolutionary System is used to predict the future tendency of assets price. Therefore, a framework using a Multi-Objective Genetic Algorithm (GA) in its core to optimize a set of Trading or Investment Strategies (TSs) was developed. The investigated framework is used to determine potential buy, sell or hold conditions in stock markets, aiming to yield high return...
متن کاملFutures trading with transaction costs
A model for optimal consumption and investment is posed whose solution is provided by the classical Merton analysis when there is zero transaction cost. A probabilistic argument is developed to identify the loss in value when a proportional transaction cost is introduced. There are two sources of this loss. The first is a loss due to “displacement” that arises because one cannot maintain the op...
متن کاملElectronic Trading on Futures Exchanges
To place an order under this method, the customer calls a broker, who time-stamps the order and prepares an office order ticket. The broker then sends the order to a booth on the exchange floor. There, a floor order ticket is prepared, and a clerk hand delivers the order to the floor trader for execution. In some cases, the floor clerk may use hand signals to convey the order to floor traders. ...
متن کاملthe relationship between critical thinking and reading strategies
during the process of reading, sometimes learners use ineffective and inefficient strategies and some factors may influence their use of strategies. perhaps critical thinking is one of these factors. this study aims to identify those categories of reading strategies that are mostly used by iranian efl learners and to see if there is any significant relationship between the critical thinking abi...
ذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Journal of Derivatives
سال: 2014
ISSN: 1074-1240
DOI: 10.3905/jod.2014.2014.1.034