Essays about: "VIX"

Showing result 11 - 15 of 41 essays containing the word VIX.

  1. 11. @TheRealDonaldTrump’s tweets correlation with stock market volatility

    University essay from KTH/Matematisk statistik

    Author : Isak Olofsson; [2020]
    Keywords : Donald Trump; Volatility; Cboe VIX; Twitter; Stock Market; TF-IDF; Regression analys; Statistic; Applied mathematics; Financial mathematicsis; Donald Trump; Volatilitet; Cboe VIX; Twitter; Aktiemarknaden; TF-IDF; Regressionsanalys; Statistik; Tillämpad matematik; Finansiell matematik;

    Abstract : The purpose of this study is to analyze if there is any tweet specific data posted by Donald Trump that has a correlation with the volatility of the stock market. If any details about the president Trump's tweets show correlation with the volatility, the goal is to find a subset of regressors with as high as possible predictability. READ MORE

  3. 12. Coalition formation during turbulence : A large-n study examining the effects of economic and political instability on government-coalition formation

    University essay from Uppsala universitet/Statsvetenskapliga institutionen

    Author : Stina Lindgren; [2020]
    Keywords : coalition; coalition formation; turbulence; economic turbulence; political turbulence; VIX; government; government formation; coalition-formation theory;

    Abstract : This thesis examines the effects of economic and political turbulence on coalition-formation across 37 EU and OECD democracies. Utilizing the existing potential-coalitions research, it analyzes how increases in turbulence affect common variables predicted to determine which coalitions are chosen of all potential cabinets following an election. READ MORE

  4. 13. Consistent pricing of VIX options

    University essay from Lunds universitet/Matematisk statistik

    Author : Wilhelm Ålander; [2020]
    Keywords : VIX; Option pricing; Fourier methods.; Mathematics and Statistics;

    Abstract : This thesis is an extension from the thesis "To what degree is the VIX benchmark computed by CBOE representative of its definition?" presented on June 16 in 2018. The primary purpose of this thesis is to investigate a consistent way of Fourier pricing with the Heston model and whether or not the estimates can be improved by extending the amount of CIR processes in order to catch the non-linear behavior of VIX options. READ MORE

  5. 14. Trading Volatility : Trading strategies based on the VIX term structure.

    University essay from Umeå universitet/Företagsekonomi

    Author : Oskar Fransson; Henrik Mark Almqvist; [2020]
    Keywords : Volatility; VIX futures; VIX ETP; VIX ETF; VIX ETN; VIX index; VIX term structure; VIX trading; Volatility trading; Contango; Backwardation; Roll yield; Options; Futures;

    Abstract : This study investigates how term structure dynamics of VIX futures can be exploited forabnormal returns. To be able to access volatility as a tradeable asset, the trading strategiesonly trades ETFs which are designed to replicate the movements of VIX futures index. READ MORE

  6. 15. Portfolio Performance Optimization Using Multivariate Time Series Volatilities Processed With Deep Layering LSTM Neurons and Markowitz

    University essay from KTH/Matematisk statistik

    Author : Aron Andersson; Shabnam Mirkhani; [2020]
    Keywords : Recurrent Neural network RNN ; long short-term memory LSTM ; portfolio optimization; markowitz; exponential moving average; sharpe ratio; heteroskedasticity; Markowitz;

    Abstract : The stock market is a non-linear field, but many of the best-known portfolio optimization algorithms are based on linear models. In recent years, the rapid development of machine learning has produced flexible models capable of complex pattern recognition. READ MORE