请问cross asset volatility trading该如何理解 这两段都没看懂添加评论 0 0 1 个答案 伯恩_品职助教 · 2022年11月30日 嗨,爱思考的PZer你好: 日经225的波动率相对比标普500的波动率还要好,但是却便宜。所以存在套利机会。因为理论上波动率一样的话,价格应该一样。那么做多日经225的波动率做空标普500的波动率...
Given all this evidence, we examine whether crude oil price uncertainty (measured by the crude oil volatility index) can be employed as a trading signal for a profitable trading strategy. We construct an XTSMOM strategy by examining the predictive power of changes in the CBOE Crude Oil Volatili...
The first chapter explores the asset pricing impact of financial distress and idiosyncratic volatility on cross-sectional stock returns. I show that the pu... QF Song - University of Pennsylvania. 被引量: 0发表: 2009年 CROSS-BORE RISK ASSESSMENT AND RISK MANAGEMENT TOOL A method for cross-bore...
However, in recent weeks, the political landscape took a dramatic shift as Trump regained momentum and now finds himself in the lead once again. With less than two weeks until the election, much can still change, adding to market volatility as investors weigh the implications of different outcom...
First, a lag of one week (five trading days) is introduced Robustness to volatility clustering in carry trade profits Prior studies have uncovered considerable evidence for volatility clustering in monthly financial time series data (for example, Ding, Granger, 1996, Engle, Lee, 1999, Bollerslev,...
Government bonds comove more strongly with bond-like stocks: stocks of large, mature, low-volatility, profitable, dividend-paying firms that are neither hi... M Baker - 《Rev Asset Pric Stud》 被引量: 148发表: 2012年 Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Character...
We show empirically that the breakdown is more prominent for large stocks, and this effect of firm size falls during periods of high-market volatility. Our empirical results are robust to the effect of distraction due to extraneous news events....
The results are extraordinary risk adjusted returns at a reasonable level of volatility. Adding fixed income and other diversifying assets, such as gold, to momentum-based portfolios gives substantially more improvement than it does to non-momentum portfolios. We validate eight years of ETF momentum ...
chapter. Two changes have occurred; the "small" one is that the volatility of bitcoin has declined, especially relative to other assets such as equities. But the main reason for the change of view is the scale of the build-up of debt post the pandemic, and how this changes the tone of...
allocation based on an equal-weight of two z-scores, for macro factors and valuation respectively. Regarding macro factors (growth, inflation, market stress), z-scores are computed as the excess return in the current (“nowcasted”) regime vs full sample return scaled by historical volatility....