Market Efficiency And Arbitrage Opportunities In The Ftse 100 Option Market
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An Empirical Study of the Cross Market Efficiency of the Index Options Market
Author | : Izidin El Kalak |
Publisher | : |
Total Pages | : 36 |
Release | : 2018 |
Genre | : |
ISBN | : |
This study examines the cross-market efficiency of the FTSE/MIB index options contracts traded on the Italian derivatives market (IDEM) between 1st October 2007 and 31st December 2012, a period including the financial crisis, using daily option prices. Two fundamental no-arbitrage conditions are tested: the lower boundary condition (LBC) and the put/call parity (PCP) condition while taking into account the role of transaction costs in mitigating the number of violations reported. Ex-post tests of LBC and PCP revealed a low incidence of mispricing in this market. Furthermore, to check the robustness of the results obtained by the ex-post tests, ex-ante tests were applied to PCP violations occurring within a one-day lag. The results showed a significant drop in the number of profitable arbitrage strategies. Overall, the number and monetary value of the violations reported declined during the post financial crisis period compared to those during the financial crisis period. The findings obtained from these tests generally support the cross-market efficiency of the Italian index options market during the sample period, though some violations were occasionally reported.
Chance Discovery
Author | : Yukio Ohsawa |
Publisher | : Springer Science & Business Media |
Total Pages | : 420 |
Release | : 2013-03-09 |
Genre | : Computers |
ISBN | : 3662062305 |
Chance discovery means discovering chances - the breaking points in systems, the marketing windows in business, etc. It involves determining the significance of some piece of information about an event and then using this new knowledge in decision making. The techniques developed combine data mining methods for finding rare but important events with knowledge management, groupware, and social psychology. The reader will find many applications, such as finding information on the Internet, recognizing changes in customer behavior, detecting the first signs of an imminent earthquake, etc. This first book dedicated to chance discovery covers the state of the art in the theory and methods and examines typical scenarios, and it thus appeals to researchers working on new techniques and algorithms and also to professionals dealing with real-world applications.
The Oxford Handbook of Computational Economics and Finance
Author | : Shu-Heng Chen |
Publisher | : Oxford University Press |
Total Pages | : 785 |
Release | : 2018-01-12 |
Genre | : Business & Economics |
ISBN | : 0199844380 |
The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.
Guide to Financial Markets
Author | : Marc Levinson |
Publisher | : The Economist |
Total Pages | : 250 |
Release | : 2018-07-24 |
Genre | : Business & Economics |
ISBN | : 1541742516 |
The revised and updated 7th edition of this highly regarded book brings the reader right up to speed with the latest financial market developments, and provides a clear and incisive guide to a complex world that even those who work in it often find hard to understand. In chapters on the markets that deal with money, foreign exchange, equities, bonds, commodities, financial futures, options and other derivatives, the book examines why these markets exist, how they work, and who trades in them, and gives a run-down of the factors that affect prices and rates. Business history is littered with disasters that occurred because people involved their firms with financial instruments they didn't properly understand. If they had had this book they might have avoided their mistakes. For anyone wishing to understand financial markets, there is no better guide.
Calendar Anomalies And Arbitrage
Author | : William T Ziemba |
Publisher | : World Scientific |
Total Pages | : 607 |
Release | : 2012-07-25 |
Genre | : Business & Economics |
ISBN | : 9814405477 |
This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month, January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating on the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include the presidential election and factor models based on fundamental anomalies. The ideas have been used successfully by the author in personal and managed accounts and hedge funds.
The Efficiency of Dynamic Trading Strategies in Imperfect Markets
Author | : Harry M. Kat |
Publisher | : |
Total Pages | : 316 |
Release | : 1993 |
Genre | : Business & Economics |
ISBN | : |
Genetic Algorithms and Genetic Programming in Computational Finance
Author | : Shu-Heng Chen |
Publisher | : Springer Science & Business Media |
Total Pages | : 520 |
Release | : 2002-07-31 |
Genre | : Business & Economics |
ISBN | : 9780792376019 |
Accompanying CD-ROM contains ... "a menu-driven software program, Simple GP ..." p, [4] of cover.