Option return predictability with machine learning and big data
Drawing upon more than 12 million observations over the period from 1996 to 2020, we find
that allowing for nonlinearities significantly increases the out-of-sample performance of …
that allowing for nonlinearities significantly increases the out-of-sample performance of …
Limits of Arbitrage and Primary Risk-Taking in Derivative Securities
M Tian, L Wu - The Review of Asset Pricing Studies, 2023 - academic.oup.com
Classic option pricing theory values a derivative contract via dynamic delta hedging and
treating the contract as redundant relative to the underlying security. Dynamic delta hedging …
treating the contract as redundant relative to the underlying security. Dynamic delta hedging …
Option trading and returns versus the 52‐week high and low
SK Choy, J Wei - Financial Review, 2022 - Wiley Online Library
We show that option traders suffer from the anchoring effect induced by the stock price's 52‐
week high or low. Specifically,(1) trading of all options decreases as the stock price …
week high or low. Specifically,(1) trading of all options decreases as the stock price …
[PDF][PDF] Identifying Factors of Delta-Hedged Equity Option Returns Using Adaptive Group LASSO
M Grith - 2023 - thesis.eur.nl
We identify characteristics that provide incremental information on the cross-section of delta-
hedged option returns using a nonparametric approach. We use the adaptive group least …
hedged option returns using a nonparametric approach. We use the adaptive group least …
[PDF][PDF] CFR Working Paper NO. 21-08 Option Return Predictability with Machine Learning and Big Data TG Bali• H. Beckmeyer• M. Moerke• F. Weigert
M Learning - cfr-cologne.de
Drawing upon more than 12 million observations over the period from 1996 to 2020, we find
that allowing for nonlinearities significantly increases the out-of-sample performance of …
that allowing for nonlinearities significantly increases the out-of-sample performance of …