Essays about: "VIX"

Showing result 21 - 25 of 41 essays containing the word VIX.

  1. 21. Bitcoin - Monero analysis: Pearson and Spearman correlation coefficients of cryptocurrencies

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Angelos Kalaitzis; [2018]
    Keywords : Bitcoin; Monero; S P500; VIX; correlation; unit root; ADF test; Pearson correlation coefficient; Spearman correlation coefficient.;

    Abstract : In this thesis, an analysis of Bitcoin, Monero price and volatility is conducted with respect to S&P500 and the VIX index. Moreover using Python, we computed correlation coefficients of nine cryptocurrencies with two different approaches: Pearson and Spearman from July 2016 -July 2018. READ MORE

  3. 22. A Study to Examine During what Market Conditions it has been Profitable with Home Bias for a Swedish Fund Manager

    University essay from KTH/Matematisk statistik

    Author : Markus Hilmersson; Erik Malmgren; [2018]
    Keywords : Home Bias; Stock Market Condition; Correlation; Bull; Bear; VIX; Mutual Fund; Multiple Regression Analysis; Home Bias; Aktiemarknadens Beteende; Korrelation; Bull; Bear; VIX; Fond; Multipel Linjär Regressionsanalys;

    Abstract : This thesis in applied statistics and industrial economics examines the correlation between a number of market conditions on the Swedish and Global market and the yield difference between the Swedish stock market and the Global stock market. The report is based on data from the index MSCI Sweden Net Return, MSCI World Net Return and the Volatility index S&P 500. READ MORE

  4. 23. To what degree is the VIX benchmark computed by CBOE representative of its definition?

    University essay from Lunds universitet/Matematisk statistik

    Author : Patrik Liedbeck; Wilhlem Ålander; [2018]
    Keywords : Mathematics and Statistics;

    Abstract : The purpose of this paper is through an empirical approach understand the dynamics of VIX and investigate to what degree the benchmark computed by CBOE is representative of its definition. The method implemented is of a design where one constructs a hypothetical world in which synthetic options data are produced by the Bates-Heston model. READ MORE

  5. 24. Assessing the Economic Value of Implied Volatility Estimates

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johannes Ackermann; [2018]
    Keywords : implied volatility; option pricing; modern portfolio theory; GARCH; Markov switching models;

    Abstract : This thesis studies the value of implied volatility estimates for portfolio allocation under the modern portfolio theory (MPT) framework introduced by Markowitz and compares the pricing performances of several common option pricing models. The thesis consists of two parts. READ MORE

  6. 25. Volatility and Sentiment, The Explanatory Power of Social Media Sentiment on Volatility for the U.S. Equity Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Xin Li; Cedric Hanes vongheer; [2018]
    Keywords : Sentiment Analysis; Volatility; VIX; U.S Equity Market; Twitter;

    Abstract : In this paper, we analyse to what extent sentiment explains and predicts volatility. We perform simple linear regressions with sentiment as the independent variable for a sample of different dependent variables. These dependent variables are the VIX, the VVIX, ve business-to-business companies, ve business-to-consumer companies and the S&P 500. READ MORE