Simulation of Volatility Trading using Nikkei Stock Index Option based on Stock Bulletin Board
| Autor: | Eiichi Umehara, Hirohiko Suwa, Yuki Ogawa, Tatsuo Yamashita, Yui Hirose, Kodai Sasaki, Kota Tsubouchi |
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| Rok vydání: | 2018 |
| Předmět: |
Volatility index
0209 industrial biotechnology 050208 finance Computer science 05 social sciences 02 engineering and technology Stock market index Profit (economics) Bulletin board 020901 industrial engineering & automation 0502 economics and business Butterfly Econometrics Call option Volatility (finance) Put option Stock (geology) |
| Zdroj: | IEEE BigData |
| DOI: | 10.1109/bigdata.2018.8622427 |
| Popis: | We developed a simulation program for trading Nikkei stock index options and verifies the validity of the volatility index (VIX) prediction model proposed by Suwa et al. (2017). We simulated two cases from 18 Nov. 2014 to 29 Jun. 2016. One case involved a benchmark of trading every day during that period and the other was in accordance with the buy/sell/hold instructions of Suwa et al.’s VIX prediction model. When using the call option butterfly spread according to their model’s instructions, profit increased from −3,926 to 536 yen. When using the put option butterfly spread according to their model’s instructions, profit increased from −4,818 to −799 yen. Therefore, Suwa et al.’s VIX prediction model is effective. |
| Databáze: | OpenAIRE |
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