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Is the Put-Call Ratio a Reliable Indicator?

Posted on November 8, 2024 By 
The put-call ratio (PCR) is a popular indicator used in financial markets to gauge investor sentiment. It is calculated by dividing the number of traded put options by the number of traded call options over a specific period. The put-call ratio is often promoted and utilized by market analysts for …
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Causal Relationship Between VIX ETPs and Futures in Low- and High-Volatility Regimes

Posted on November 4, 2024 By 
VIX Exchange-Traded Products (ETPs) are financial instruments designed to provide exposure to the CBOE Volatility Index (VIX), which measures the market’s expectation of 30-day forward-looking volatility derived from S&P 500 options. VIX ETPs, such as ETFs and ETNs, allow investors to gain exposure to volatility without directly trading options or …
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A Trading System Based on Polynomial Regression Models

Posted on October 31, 2024 By 
Linear regression is a widely used prediction technique in finance. Linear regression can estimate the relationship between a dependent variable (such as stock price) and one or more independent variables (like market indices or economic indicators). This approach is particularly useful in predicting trends, asset prices, and risk factors. However, …
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Using Equity Options to Hedge Credit Risks

Posted on October 27, 2024 By 
Credit risk refers to the potential for financial loss if a borrower fails to meet their debt obligations, such as repaying a loan or bond. Credit risk assessment involves evaluating the likelihood of default, often using financial metrics, historical performance, and credit ratings. Effective management of credit risk includes diversifying …
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Machine Learning Models for Predicting Implied Volatility Surfaces

Posted on October 23, 2024 By 
The Implied Volatility Surface (IVS) represents the variation of implied volatility across different strike prices and maturities for options on the same underlying asset. It provides a three-dimensional view where implied volatility is plotted against strike price (moneyness) and time to expiration, capturing market sentiment about expected future volatility. Unlike …
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Variance Ratio Test in Emerging Markets

Posted on October 15, 2024 By 
The Random Walk Hypothesis (RWH) suggests that stock prices move in a completely unpredictable manner, making it impossible to consistently outperform the market through stock selection or market timing. According to this hypothesis, changes in stock prices are independent of each other and follow a random path, meaning past price …
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Forecasting Direction of Volatility with HAR Model

Posted on October 11, 2024 By 
Volatility forecasting is important in portfolio and risk management because it helps portfolio and risk managers assess the potential risk and return of their investments. Accurate volatility forecasts help in setting appropriate risk limits, calculating Value-at-Risk (VaR), and managing portfolios. Most research has focused on forecasting the point estimate or …
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Is Influencer Marketing Effective?

Posted on October 7, 2024 By 
Influencer marketing is a strategy where brands collaborate with individuals who have a significant online following to promote products or services. This form of marketing has become increasingly popular as consumers tend to trust recommendations from individuals they follow over traditional advertising. By partnering with influencers, businesses can target specific …
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