文献求助

【作者(必填)】

Her-Jiun Sheu
• Yu-Chen Wei
  

【文题(必填)】Options Trading Based on the Forecasting of Volatility Direction with the Incorporation of Investor Sentiment

【年份(必填)】2011

【全文链接或数据库名称(选填)】http://ideas.repec.org/a/mes/emfitr/v47y2011i2p31-47.html

FYI

我下载的有，ABSTRACT: Using options price data on the Taiwanese stock market, we propose an options
trading strategy based on the forecasting of volatility direction. The forecasting models
are constructed with the incorporation of absolute returns, heterogeneous autoregressiverealized
volatility (HAR‑RV), and proxy of investor sentiment. After we take into consideration
the margin-based transaction costs, the results of our simulated trading indicate
that a straddle trading strategy that considers the forecasting of volatility direction with
the incorporation of market turnover achieves the best Sharpe ratios. Our trading algorithm
bridges the gap between options trading, market volatility, and the information content of
investor overreaction. 是这一篇吗？

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