Sökning: "cboe"

Visar resultat 1 - 5 av 17 uppsatser innehållade ordet cboe.

1. 1. The Impact of Scheduled Macroeconomic News Releases on Stock Market Uncertainty

   Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Författare :Stefan Padjen; [2021-09-06]
   Nyckelord :Implied Volatility; Information; Macroeconomic News; Market Uncertainty; Multiple Testing; VIX;

   Sammanfattning : While prior literature has studied the impact of news releases on different financial markets, the option market has received less attention. The purpose of this paper is to examine the relationship between scheduled macroeconomic news releases and stock market uncertainty in the United States between January 1990 and April 2021. LÄS MER

3. 2. Quantitative tactical asset allocation: Using the VIX to exploit bull and bear market movements in a Mean-Variance portfolio

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Christian Persson; Robin Williams; [2020-07-08]
   Nyckelord :VIX; strategy; mean-variance; simple moving average; volatility; transaction costs; bull market; bear market;

   Sammanfattning : The Chicago Board Options Exchange (CBOE) Volatility Index (VIX) is known as being an indicator of fear, often referred to as the fear index. Low volatility indicates tranquility in the market, whereas high volatility indicates distress. LÄS MER

4. 3. @TheRealDonaldTrump’s tweets correlation with stock market volatility

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Isak Olofsson; [2020]
   Nyckelord :Donald Trump; Volatility; Cboe VIX; Twitter; Stock Market; TF-IDF; Regression analys; Statistic; Applied mathematics; Financial mathematicsis; Donald Trump; Volatilitet; Cboe VIX; Twitter; Aktiemarknaden; TF-IDF; Regressionsanalys; Statistik; Tillämpad matematik; Finansiell matematik;

   Sammanfattning : The purpose of this study is to analyze if there is any tweet specific data posted by Donald Trump that has a correlation with the volatility of the stock market. If any details about the president Trump's tweets show correlation with the volatility, the goal is to find a subset of regressors with as high as possible predictability. LÄS MER

5. 4. Consistent pricing of VIX options

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Wilhelm Ålander; [2020]
   Nyckelord :VIX; Option pricing; Fourier methods.; Mathematics and Statistics;

   Sammanfattning : This thesis is an extension from the thesis "To what degree is the VIX benchmark computed by CBOE representative of its definition?" presented on June 16 in 2018. The primary purpose of this thesis is to investigate a consistent way of Fourier pricing with the Heston model and whether or not the estimates can be improved by extending the amount of CIR processes in order to catch the non-linear behavior of VIX options. LÄS MER

7. 5. Jump Estimation of Hidden Markov Models with Time-Varying Transition Probabilities

   Kandidat-uppsats, Lunds universitet/Matematisk statistik

   Författare :Henning Tansjö; [2020]
   Nyckelord :Jump estimation; Hidden Markov model; financial time series; clustering; unsupervised learning.; Mathematics and Statistics;

   Sammanfattning : The Hidden Markov model is applicable to a wide variety of fields. Applied to financial time series, its assumed underlying state sequence can reflect the time series' tendency to behave differently over different periods of time. In many situations, models could be improved by including exogenous data. LÄS MER