Essays about: "GARCH-X."
Found 1 essay containing the word GARCH-X..
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1. Algorithmic Trading and Prediction of Foreign Exchange Rates Based on the Option Expiration Effect
University essay from KTH/Matematisk statistikAbstract : The equity option expiration effect is a well observed phenomenon and is explained by delta hedge rebalancing and pinning risk, which makes the strike price of an option work as a magnet for the underlying price. The FX option expiration effect has not previously been explored to the same extent. READ MORE
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