Journal article | Zeitschriftenartikel
Options trading driven by volatility directional accuracy
Analysts have claimed over the last years that the volatility of an asset is caused solely by the random arrival of new information about the future returns from the underlying asset. It is a common belief that volatility is of great importance in finance and it is one of the critical factors determining option prices and consequently driving option-trading strategies. This paper discusses an empirical option trading methodology based on efficient volatility direction forecasts. Although in most cases accurate volatility forecasts are hard to obtain, forecasting the direction is significantly easier. Increase in the directional accuracy leads to profitable investment strategies. The net gain is depended on the size of the changes as well; however successful volatility forecasts in terms of directional accuracy was found to be sufficient for positive results. In order to evaluate the proposed methodology weekly data from CAX40, DAX and the Greek FTSE/ASE 20 stock indices were used.
- Umfang
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Seite(n): 253-260
- Sprache
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Englisch
- Anmerkungen
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Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
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Applied Economics, 39(2)
- Ereignis
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Geistige Schöpfung
- (wer)
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Maris, Konstantinos Michael
Nikolopoulos, Konstantinos
Giannelos, Konstantinos George
Assimakopoulos, Vassilis
- Ereignis
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Veröffentlichung
- (wann)
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2006
- DOI
- URN
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urn:nbn:de:0168-ssoar-239611
- Rechteinformation
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GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
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21.06.2024, 16:27 MESZ
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Objekttyp
- Zeitschriftenartikel
Beteiligte
- Maris, Konstantinos Michael
- Nikolopoulos, Konstantinos
- Giannelos, Konstantinos George
- Assimakopoulos, Vassilis
Entstanden
- 2006