Essays about: "Dispersion trading"

Showing result 1 - 5 of 7 essays containing the words Dispersion trading.

  1. 1. Dispersion Trading: A Way to Hedge Vega Risk in Index Options

    University essay from KTH/Matematik (Avd.)

    Author : Albin Irell Fridlund; Johanna Heberlein; [2023]
    Keywords : Dispersion Trading; Volatility Trading; Volatility Hedging; Vega Hedging; Option Trading; Back-testing; Liquidity provider; OMXS30 options; Index options; Spridningshandel; Volitilitetshandel; Volitilitetssäkring; Vega säkring; Optionshandel; Back-testing; Likviditetgivare; OMXS30 optioner; Index optioner;

    Abstract : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. READ MORE

  3. 2. Disposition Effect and Time: Are investors increasingly reluctant to realize losses the longer they hold on to a stock?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Mathias Lien Oskarsson; [2022]
    Keywords : Behavioral finance; Disposition effect; Holding period; Gender; Age;

    Abstract : The disposition effect is defined as the notion that investors hold on to losses for too long. In this paper I study how the disposition effect is influenced by the longer the investor holds on to a stock. READ MORE

  4. 3. Illiquidity and Its Threats - A Study of the U.S. Corporate Bond Market

    University essay from Lunds universitet/Matematisk statistik

    Author : Adam Löfquist; Erik Ottosson; [2021]
    Keywords : Liquidity; price dispersion; Hui-Heubel liquidity ratio; ILLIQ; TRACE; U.S. corporate bonds; Over-the-Counter market; regression analysis; return modelling; stressed market conditions.; Mathematics and Statistics;

    Abstract : In recent times of market turmoil, liquidity risk has become a big talking point. As certain Swedish fixed income funds, which were advertised as safe investment options, closed for a few trading days in March of 2020 due to the extremely high stress on the market, questions about how illiquidity a↵ects risk and return were asked. READ MORE

  5. 4. Presence of herd behavior in stock trading : Comparing different business sectors listed on the Swedish Stock Market

    University essay from Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

    Author : Felix Tejland; [2020]
    Keywords : ;

    Abstract : This paper investigates the investment behavior among financial market participants. Using the methodology of Cross-Sectional Absolute Deviation (CSAD), focus is on the presence of herd behavior. READ MORE

  6. 5. Analyst Disagreement- A Recipe for Disaster: The Cross-section of Scandinavian Stock Returns

    University essay from Göteborgs universitet/Graduate School

    Author : Robert Wigermo; Viktor Svärd; [2015-07-13]
    Keywords : Differences of opinion; Short sale constraints; Return predictability;

    Abstract : We show that dispersion in analysts’ earnings forecasts is negatively related to future returns on the Scandinavian stock markets. This negative relation is most pronounced for small stocks. READ MORE