Options trading driven by volatility directional accuracy

Maris, K; Nikolopoulos, K; Giannelos, K; Assimakopoulos, V

dc.contributor.author	Maris, K	en
dc.contributor.author	Nikolopoulos, K	en
dc.contributor.author	Giannelos, K	en
dc.contributor.author	Assimakopoulos, V	en
dc.date.accessioned	2014-03-01T01:26:50Z
dc.date.available	2014-03-01T01:26:50Z
dc.date.issued	2007	en
dc.identifier.issn	0003-6846	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/18251
dc.subject.classification	Economics	en
dc.subject.other	empirical analysis	en
dc.subject.other	financial system	en
dc.subject.other	forecasting method	en
dc.subject.other	investment	en
dc.subject.other	price determination	en
dc.title	Options trading driven by volatility directional accuracy	en
heal.type	journalArticle	en
heal.identifier.primary	10.1080/00036840500427999	en
heal.identifier.secondary	http://dx.doi.org/10.1080/00036840500427999	en
heal.language	English	en
heal.publicationDate	2007	en
heal.abstract	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 article 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.	en
heal.publisher	ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD	en
heal.journalName	Applied Economics	en
dc.identifier.doi	10.1080/00036840500427999	en
dc.identifier.isi	ISI:000243277200011	en
dc.identifier.volume	39	en
dc.identifier.issue	2	en
dc.identifier.spage	253	en
dc.identifier.epage	260	en