Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - Options trading driven by volatility directional accuracy
AU - Maris, K.
AU - Nikolopoulos, Konstantinos
AU - Giannelos, K.
AU - Assimakopoulos, V.
PY - 2006/1
Y1 - 2006/1
N2 - Purpose - To use efficient volatility direction forecasts for option trading.Design/methodology/approach - Presents an option trading methodology as a flow chart. Bases it on weekly closing values , and calculates historical volatility series using both a naïve forecast and a 13 week moving average forecast. Combines in a two-layer artificial neural network (ANN)with back-propagation. Adds an Imply Volatility Series, and forecasts one period ahead. Applies to the CAC 40, DAX and Greek FTSE/ASE 20, rolling 26 one-week forecasts.Findings - Finds the combined method provided much more accurate forecasts and a profit over 26 weeks. However, notes some simpler ,methods yielded higher profits.Research limitations/implications - Proposes research into more accurate directional predictions, limited to those over specific margins. Adds the need to use daily data.Originality/value - Presents an apparently simple method of forecasting the direction of volatility.
AB - Purpose - To use efficient volatility direction forecasts for option trading.Design/methodology/approach - Presents an option trading methodology as a flow chart. Bases it on weekly closing values , and calculates historical volatility series using both a naïve forecast and a 13 week moving average forecast. Combines in a two-layer artificial neural network (ANN)with back-propagation. Adds an Imply Volatility Series, and forecasts one period ahead. Applies to the CAC 40, DAX and Greek FTSE/ASE 20, rolling 26 one-week forecasts.Findings - Finds the combined method provided much more accurate forecasts and a profit over 26 weeks. However, notes some simpler ,methods yielded higher profits.Research limitations/implications - Proposes research into more accurate directional predictions, limited to those over specific margins. Adds the need to use daily data.Originality/value - Presents an apparently simple method of forecasting the direction of volatility.
KW - Accuracy
KW - Financial Forecasting
KW - Greece
KW - Neural Networks
KW - Options
M3 - Journal article
VL - 39
SP - 253
EP - 260
JO - Emerald Management Reviews
JF - Emerald Management Reviews
SN - 1474-6085
IS - 1
ER -