Pricing And Informational Efficiency Of The Mib30 Index Options Market An Analysis With High Frequency Data
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We analyze the pricing and informational efficiency of the Italian market for options written on the most important stock index, the MIB30. We report that a striking percentage of the data consists of option prices violating basic no-arbitrage conditions. This percentage declines when we relax the no-arbitrage restrictions to accommodate for the presence of bid/ask spreads and other frictions, but never becomes negligible. We also investigate the informational efficiency of the MIBO and conclude that option prices are poor predictors of the volatility of MIB30 returns. This conclusion is robust to a number of statistical and sampling methods.
| Author | : Gianluca Cassese |
| Publisher | : |
| Total Pages | : 32 |
| Release | : 2007 |
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We analyze the pricing and informational efficiency of the Italian market for options written on the most important stock index, the MIB30. We find several indications inconsistent with the hypothesis that the Italian MIBO is an efficient market. We report that a striking percentage of the data consists of option prices violating basic no-arbitrage conditions. This percentage declines but never becomes negligible when we relax the no-arbitrage restrictions to accommodate for the presence of bid/ask spreads and other frictions. The result holds in general for all levels of moneyness and time to maturity. We also investigate the informational efficiency of the MIBO and conclude that option prices are poor predictors of the volatility of MIB30 returns. This conclusion is robust to a number of statistical and sampling methods.
| Author | : Anuradha Kandikuppa |
| Publisher | : |
| Total Pages | : 250 |
| Release | : 1999 |
| Genre | : Options (Finance) |
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| Author | : Madhu Kalimipalli |
| Publisher | : |
| Total Pages | : 49 |
| Release | : 2006 |
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We examine the economic benefits of using high frequency volatility measures for pricing, trading and hedging in the Samp;P 500 index options market. Using the encompassing regression framework, we generate volatility forecasts combining information from long memory high-frequency volatility specifications and option-based implied volatilities. We conduct out-of-sample tests of the volatility forecasts by examining option pricing performance, trading performance based on volatility timing strategies, and the performance of covered options positions for index option writers. Our results support combining forecasts of implied volatility and realized volatility and illustrate that the realized volatility approach has economic value in the context of option pricing and risk management.
| Author | : Holger Claessen |
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| Total Pages | : 27 |
| Release | : 2002 |
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| Author | : Greg N. Gregoriou |
| Publisher | : CRC Press |
| Total Pages | : 654 |
| Release | : 2009-04-08 |
| Genre | : Business & Economics |
| ISBN | : 1420099558 |
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
| Author | : Markos Katsanos |
| Publisher | : John Wiley & Sons |
| Total Pages | : 428 |
| Release | : 2010-03-11 |
| Genre | : Business & Economics |
| ISBN | : 1119995906 |
This book shows traders how to use Intermarket Analysis to forecast future equity, index and commodity price movements. It introduces custom indicators and Intermarket based systems using basic mathematical and statistical principles to help traders develop and design Intermarket trading systems appropriate for long term, intermediate, short term and day trading. The metastock code for all systems is included and the testing method is described thoroughly. All systems are back tested using at least 200 bars of historical data and compared using various profitability and drawdown metrics.
| Author | : Alexandra Hachmeister |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 188 |
| Release | : 2007-11-03 |
| Genre | : Business & Economics |
| ISBN | : 3835095773 |
Alexandra Hachmeister’s thesis empirically analyzes and positively answers the question whether informed traders provide liquidity in an open limit order book. The analyses include a detailed market description of the German equity market, a new methodological approach for the identification of informed traders as well as the analysis of the individual liquidity providing and demanding behavior of the identified informed traders.
| Author | : Charles M.S. Sutcliffe |
| Publisher | : Routledge |
| Total Pages | : 844 |
| Release | : 2018-01-18 |
| Genre | : Business & Economics |
| ISBN | : 1351148540 |
The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
| Author | : Christian L. Dunis |
| Publisher | : John Wiley & Sons |
| Total Pages | : 426 |
| Release | : 2004-01-09 |
| Genre | : Business & Economics |
| ISBN | : 0470871342 |
This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston. Fills the gap for a book on applied quantitative investment & trading models Provides details of how to combine various models to manage and trade a portfolio
