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Xin, Mao. "The VIX Volatility Index." Thesis, Uppsala universitet, Analys och tillämpad matematik, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-153705.
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Koráb, Pavel. "Analýza vlivu fundamentálních zpráv na pohyby indexu VIX." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-264012.
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The thesis investigates the impact of the fundamental news announcements on the movements of the VIX volatility index and the VIX Futures prices. The theoretical part of the thesis explains the construction of the VIX Index and the VIX Futures, describes the most important fundamental news for the US economy and presents a methodology for the modelling of the relationship between the news announcements and the VIX index movements with a simple linear regression model. In the empirical part of the thesis, we analyze the impact of 105 US fundamental news, from the Reuters Eikon database, on the VIX Index movements on theday of the news announcements as well as on the subsequent day. We find a strong relationship between the surprise component of the news and the VIX Index movements on the day of the news announcement, with the statistically significant news explaining 5-10% of the total return variance (for news with small number of observations up to 30-50%) on the announcement day. In the second part of the empirical study, simple trading system is proposed in order to utilize the possible impact of the economic news on the next-day (after announcement) returns of VIX futures in order to achieve speculative profits. Although the models seem to possess some limited out-sample profitability for some of the news, the results are for most of the cases statistically insignificant and the potential profits from the news trading seem to be relatively low.
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Stanley, Spencer, and William Trainor. "FORECASTS AND IMPLICATIONS USING VIX OPTIONS." Digital Commons @ East Tennessee State University, 2021. https://dc.etsu.edu/honors/619.
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This study examines the Chicago Board Option Exchange (CBOE) Volatility Index (VIX) which is the implied volatility calculated from short-term option prices on the Standards & Poor’s 500 stock index (S&P 500). Findings suggest VIX overestimates average volatility by approximately 3% but explains 55% of S&P 500’s proceeding month’s volatility. The implied volatility (IV) from options on the VIX add additional explanatory power for the S&P’s 500 proceeding kurtosis values (a measure of tail risk). The VIX option’s volatility smirks did not add additional explanatory power for explaining the S&P 500 volatility or kurtosis. A simple trading rule based on buying the S&P 500 whether the VIX, IV from the options on the VIX, and the VIX option’s volatility smirk decline over the preceding month results in an additional 0.96% return in the following month. However, this only occurs approximately 10% of the time and does not outperform a simple buy-and-hold strategy as the strategy has the investor out of the market the majority of the time.
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Fransson, Oskar, and Almqvist Henrik Mark. "Trading Volatility : Trading strategies based on the VIX term structure." Thesis, Umeå universitet, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172989.
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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. Itis established that such ETFs are unsuitable for buy-and-hold investments because of thenegative roll yield it usually suffers, caused by the slope of the VIX term structure.Consequently, these conditions create opportunities for strategies that use direct andinverse VIX ETFs to be profitable. The study is a quantitative study that uses historicalprice data to back test three different trading strategies. The strategies are tested over theperiod 11-oct-2011 to 31-mar-2020. The authors have deliberately chosen to delimit thestudy by not testing the performance of the ETFs, not statistically test the risk-adjustedreturns and not perform a regression to calculate optimal hedge ratios for the strategies.The results from this study shows that its possible for strategies that exploit the termstructure dynamics of VIX futures to generate abnormal returns.
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Kozyreva, Maria. "How reliable is implied volatility A comparison between implied and actual volatility on an index at the Nordic Market." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1635.
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<p>Volatility forecast plays a central role in the financial decision making process. An intrinsic purpose of any investor is profit earning. For that purpose investors need to estimate the risk. One of the most efficient</p><p>methods to this end is the volatility estimation. In this theses I compare the CBOE Volatility Index, (VIX) with the actual volatility on an index at the Nordic Market. The actual volatility is defined as the one-day-ahead prediction as calculated by using the GARCH(1,1) model. By using the VIX model I performed consecutive predictions 30 days ahead between February the 2nd, 2007 to March</p><p>the 6th, 2007. These predictions were compared with the GARCH(1,1) one-day-ahead predictions for the same period. To my knowledge, such comparisons have not been performed earlier on the Nordic Market. The conclusion of the study was that the VIX predictions tends to higher values then the GARCH(1,1) predictions except for large prices upward jumps, which indicates that the VIX is not able to predict future shocks.</p><p>Except from these jumps, the VIX more often shows larger value than the GARCH(1,1). This is interpreted as an uncertainly of the prediction. However, the VIX predictions follows the actual volatility reasonable</p><p>well. I conclude that the VIX estimation can be used as a reliable estimator of market volatility.</p>
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Ding, Liang. "Information Diffusion across Financial Markets." Kent State University / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=kent1281058095.
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Bigdeli, Sam, and Filip Bengtsson. "Portfolio Optimization : A DCC-GARCH forecast with implied volatility." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-85992.
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This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1.1) process and an external regressor of an implied volatility index (VIX). We then simulate returns using a rolling window of 500 daily observations and construct portfolios based on the allocation methods. The results suggest that the model can sufficiently estimate expected returns and covariance matrices and we can outperform benchmarks in form of equally weighted and historical portfolios in terms of higher returns and lower risk. Over the whole out-of-sample period the CET portfolio yields the highest mean returns and GMV and MinCVaR can significantly lower the variance. The inclusion of VIX has marginal effects on the forecasting accuracy and it seems to impair the estimation of risk.
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Van, der Merwe Justin. "Pricing index-linked catastrophe bonds via Monte Carlo simulation." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20647.
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The pricing framework used in this dissertation allows for the specification of catastrophe risk under the real-world measure. This gives the user a great deal of freedom in the assumptions made about the underlying catastrophe risk process (referred to in this dissertation as the aggregate loss process). Therefore, this dissertation aims to shed light on the effect of various assumptions and considerations on index-linked CAT bond prices based on the Property Claims Services (PCS) index. Also, given the lack of a closed-form solution to the pricing formulae used and the lack of a liquidly-traded secondary market, this dissertation compares two approximation methods to evaluate expressions involving the aggregate loss process: Monte Carlo simulation and a mixed-approximation method. The two price-approximation methods are largely consistent and seem to agree particularly in the upper quantiles of the distribution of the aggregate loss process. Another key consideration is that the third-party estimating the catastrophe losses in North America, PCS, only records catastrophe losses above $25 million. This dissertation therefore also explores the issue of left-truncated data and its effect when estimating the parameters of the aggregate loss process. For this purpose, it introduces a non-parametric approach to compare, in sample, the results of ignoring the threshold and taking it into account. In both these exercises, it becomes apparent that very heavy-tailed distributions need to be used with caution. In the former case, the use of very heavy-tailed distributions places restrictions on the distributions that can be used for the mixed-approximation method. Finally, as a more realistic avenue this dissertation proposes a simple stochastic intensity model to compare with the deterministic intensity model and found that, by parsimony, the deterministic intensity seems to provide a reasonable model for the upper quantiles of the aggregate loss process. The key results of this dissertation are that the pricing of CAT bonds depends on the quantiles of the aggregate loss process, as in evident both when comparing the approximation methods and the deterministic and stochastic intensity functions, and that left-truncation should be taken into account when valuing index-linked CAT bonds using data from PCS.
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Khan, Dominique-Sila. "Bâbâ Râmdeo, "dieu des parias" : traditions religieuses et culturelles dans une communauté d'intouchables au Rajasthan." Paris 7, 1995. http://www.theses.fr/1993PA070132.
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Baba ramdeo, egalement appele ranshah pir, est une divinite populaire de l'inde traditionnellement adoree par un groupe d'intouchables hindous, les meghwal; mais de nos jours elle est reveree pratiquement par toutes les castes et communautes religieuses du rajasthan. Son sanctuaire se presente a la fois comme un dargah ou tombeau de saint musulman et comme un temple hindou. La tradition orale des meghwal et de leurs pretres, les kamad, permet de retracer l'origine ismaelienne du personnage historique de ramdeo et de la secte qu'il fonda. Le syncretisme religieux qui caracterise le mouvement a ses debuts tend peu a peu a s'estomper au profit d'une structure nettement rehindouisee; cependant, les intouchables continuent a adorer ramdeo comme leur divinite tutelaire, et font de sa tradition une veritable "carte d'identite" de leur caste<br>Baba ramdeo, also called ramshah pir, is an indian fol deity, traditionnally worshipped by a hindu group of untouchebles, the meghwals; but nowadays, his cult is equally widespread among nearly all castes and religious communities of rajasthan. His shrine appears simultaneously as a dargah or grave of a muslim saint and as a hindu temple. The oral tradtion of the meghwals and of their priests, the kamads, reveals the ismali origin of ramdeo hinself, as a historical figure, and of the sect he founded. The religious syncretism which characterizes the movement at its very beginning gradually tends to vanish and evolve towards a more and more hinduized structure; the untouchables, however, continue to worship ramdeo as their tutelary deity as far as his tradition serves to strengh then their caste identity
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García, Gabriel. "Raúl Gutiérrez, (ed.): Los símiles de la República VI – VII de Platón, Lima: Pontificia Universidad Católica del Perú, 2003, 200 pp." Pontificia Universidad Católica del Perú - Departamento de Humanidades, 2012. http://repositorio.pucp.edu.pe/index/handle/123456789/113105.
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Matsue, Kaname. "Rigorous verification of bifurcations of differential equations via the Conley index theory." 京都大学 (Kyoto University), 2011. http://hdl.handle.net/2433/142350.
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Jin, Wesley. "Practical, Large-Scale Detection of Obfuscated Malware Code Via Flow Dependency Indexing." Research Showcase @ CMU, 2014. http://repository.cmu.edu/dissertations/389.
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Malware analysts often need to search large corpuses of obfuscated binaries for particular sequences of related instructions. The use of simple tactics, such as dead code insertion and register renaming, prevents the use of conventional, big-data search indexes. Current, state of the art malware detectors are unable to handle the size of the dataset due to their iterative approach to comparing files. Furthermore, current work is also frequently designed to act as a detector and not a search tool. I propose a system that exploits the observation that many data/control-flow relationships between instructions are preserved in the presence of obfuscations. The system will extract chains of flow-dependent instructions from a binary’s Program Dependence Graph (PDG). It will then use a representation of each chain as a key for an index that points to lists of functions (and their corresponding files). Analysts will be able to quickly search for instruction sequences by querying the index.
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Joshi, Sarasvati. "Les pratiques religieuses des femmes hindoues du Rajasthan." Paris, INALCO, 2003. http://www.theses.fr/2003INAL0003.
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Cette thèse, consacrée aux pratiques religieuses des femmes hindoues du Rajasthan, porte sur les observances religieuse, fêtes et jeûnes des femmes. Ces pratiques sont associées au désir d'atteindre les objectifs spécifiques en obtenant la faveur de dieux et de déesses. Ce travail comporte quatre parties : 1) sources des informations et divers éléments communs à chaque fête, 2) histoires des divinités comme Ganesh, Soleil, Vaspat, Patvari, Tulsi, 3) classification des fêtes dans le cycle de l'année et étude détaillée des quarante trois fêtes féminines (avec les rite du culte, dessins sacrés, prières, chants, histoires, cérémonies de clôture) célébrées surtout pour assurer les neuf sortes de bonheur de ce monde, 4) étude et analyse des différents éléments de ces pratiques qui sont pour la femme une véritable source d'inspiration, d'énergie, la fameuse shakti qu'elle possède, elles constituent une école pour leur formation et jouent un rôle très important dans toute son existence<br>This thesis, devoted to the religious practices of the Hindu women of Rajasthan, relates to the religious observances, festivals, and fasts of these women. These practices are associated with the desire to achiee specific goals by obtaining the favour of gods and goddesses. This work comprises of four parts : 1) sources of information and various elements common to each festival, 2) stories of divinities like Ganesh, Sun, Vaspat, Patvari and Tulsi, 3) classification of festivals (with the rites of the worship, holy diagrams, prayers, songs, stories, and ceremonies of enclosure) especially celebrated to ensure the nine kinds of happiness of this world, and 4) study and analysis of various elements of these practices which are for women a true source of inspiration and energy or shakti. They constitute a school for their formation, and play a very important role in a woman's entire existence
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Chirif, Alberto. "The Achuar People of the Corrientes Basin: The State vis a vis its own Paradigm." Pontificia Universidad Católica del Perú, 2012. http://repositorio.pucp.edu.pe/index/handle/123456789/79913.
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El texto analiza los sucesos que llevaron al levantamiento en 2006de la población achuar de la cuenca del Corrientes (Loreto), afectadadurante casi cuatro décadas por la contaminación ocasionadapor compañías petroleras. Examina también el comportamiento delEstado y la empresa actual a lo largo de las protestas y luego de lasuscripción de un acta de compromiso para frenar la contaminacióny remediar los estragos ambientales y sociales generados. Se haconsultado gran cantidad de material escrito relacionado con elproblema: pronunciamientos, estudios sobre la salud de la población,evaluaciones sobre la ejecución de los trabajos de remediación,actas de acuerdo, correspondencia entre las partes y otros; así comoescritos diversos que permitan ubicar el tema dentro de un marcomás amplio de análisis. Asimismo, se ha entrevistado a diversosactores vinculados con el problema. Los principales hallazgos son la fortaleza de la población organizada para demandar sus derechos,la mayor seriedad de la empresa para asumir su responsabilidad, encomparación con el Estado, y la debilidad del discurso que intentaequiparar puesta en valor de recursos con desarrollo. La principalconclusión es que el Estado no cumple su paradigma señalado enel primer artículo de la Constitución: que la defensa de la personahumana y el respeto de su dignidad son su fin supremo.<br>The paper analyses the events leading to the 2006 uprising of theAchuar people of the Corrientes basin (Loreto), who have sufferedfour decades of contamination due to oil exploitation. It also examinesthe Peruvian State’s and the oil company´s attitudes throughoutthe protest and after signing an agreement aiming to stop contaminationand remedy environmental and social havoc. Materials usedinclude interviews conducted with different stake holders and a widerange of written records, such as political declarations, reports onlocal people´s health´s and remediation work, agreement documentsand letters exchanged between stake holders, as well as historicaland socio economic background information. Findings highlight thestrength of organized indigenous people´s claiming for their rights;the greater commitment to assuming responsibility shown by the oilcompany´s as compared to the Peruvian State; and the weakness ofa political discourse equating development with the extraction ofnatural resources. The main conclusion is that the Peruvian Statedoes not fulfill the paradigm set in the first article of the Constitution:that the defense of the human person and the respect of its dignityare its supreme aim.
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Baker, Anthony W. "Bounding entropy and finding symbolic dynamics via the spectrum of the Conley index." Thesis, Georgia Institute of Technology, 2000. http://hdl.handle.net/1853/29181.
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Ceder, Cecilia, and Kim Lissert. "Dolda vinstmöjligheter : En studie om överavkastning vid ändring av indexkompositioner." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-19331.
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Syfte: Undersökningens syftet är att mäta huruvida det går att få ut en överavkastning av aktier som väljs in i (respektive ut ur) OMX Stockholm Benchmark (OMXSB), som följd av att ett index ändrar sin komposition. Delsyftet är att undersöka om det går att se en signifikant ökning av handelsvolymen i anslutning till ändringsdagen. Metod: Studien tillämpar en eventstudie som undersökningsmetod av kvantitativ karaktär. Studien undersöker indexet OMXSB och innefattade totalt 111 stycken ingående och utgående aktier fördelat på 10 tillfällen. Två eventfönster har konstruerats; ett kring annonseringsdagen och ett kring ändringsdagen. Den procentuella handelsvolymen har mätts över eventfönstret kring ändringsdagen. Resultat: Den genomsnittliga kumulerade överavkastningen för eventfönstret vid annonseringsdagen uppgick till 1,02 % (-6 %) för de aktier som valdes in (ut). Det motsvarande resultatet 2,55 % (-0,41 %) framkom i eventfönstret för ändringsdagen. Handelsvolymen uppnådde i båda fallen en signifikant ökning dagen innan ändringen genomfördes. Slutsatser: Resultatet visade en signifikant överavkastning för aktier som valdes in (ut) i eventfönstret kring ändringsdagen (annonseringsdagen). Den signifikanta skillnaden av handelsvolymen tyder på att indexerarna handlar aktierna dagen innan ändringen genomförs. För aktier som väljs in gick det att se ett pristryck där priset höjdes fram till dagen innan ändringen genomfördes, som sedan återgick. Resultaten kan ha påverkats av externa faktorer vilket kan ha lett till en missvisande bild av den undersökta effekten.<br>Purpose: The study aims to investigate whether it is possible to get an abnormal return of stocks added to (or deleted from) the OMX Stockholm Benchmark index (OMXSB), as a result of a changes of the index composition. A subsidiary aim of the study is to investigate whether it is possible to see a significant increase in trading volume in close to the change day. Methodology: The study applies an event study as method of investigation of a quantitative character. The study examines the OMXSB and include a total of 111 added and deleted stocks distributed on 10 occasions. Two event windows have been designed: one around announcement day and one around change day. The percentage change of trading volume has been measured over the event window around the change day. Results: The average cumulative abnormal return for the event window around announcement day reached 1.02% (-6%) for the added (deleted) shares. Corresponding results of 2.55% (-0.41%) emerged in event window for change day. In both cases the trading volume reached a significant increase the day before the change was implemented. Conclusions: The results showed a significant abnormal return for stocks that were added (deleted) in the event window around the change day (announcement day). Trade volume suggests that index funds trade shares the day before the change day. For the added shares a price pressure could be identified up to the day before change day. The results may have been influenced by external factors which may have lead to a misleading picture of the investigated effect.
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Lefèvre, Vincent. "La création artistique au Tamiḻ Nāḍu (VIe-XVIIIe siècle) : le commanditaire et l'artiste". Paris 3, 2004. http://www.theses.fr/2004PA030024.
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Ce travail cherche à mettre en lumière les conditions de la création artistique en pays tamoul. Les dates ont été imposées par les sources et vont de la fin du VIe siècle à la colonisation de l'Inde. Le cœur de l'étude est néanmoins constitué par la période chola. Dans une première partie sont analysés les documents à notre disposition : l'épigraphie, qui fournit des noms et des dates, et la littérature technique, qui présente une réflexion théorique produite parallèlement aux inscriptions. A partir de ces deux ensembles, la deuxième partie définit les principaux acteurs du processus de création : les commanditaires, les artistes mais aussi les intermédiaires entre ces deux catégories. La troisième partie met ces éléments en relation avec les œuvres produites afin de voir comment s'est déroulé le processus allant de la commande à la réalisation tout en tâchant de déterminer quelle était l'attente des commanditaires<br>This study aims to bring out the conditions of the artistic creation in the Tamil country. Chosen due to the available sources, the dates range from the end of the 6th century to the beginning of the colonial time in India. The core study, however, is the Chola period. The first part of the study is an analysis of the documents : epigraphy, on one hand, which gives dates and names, and technical literature, on the other, offering a theoretical reflection developed along with the inscriptions. With these two groups of sources, the second part defines the actors of the artistic process : the patrons, the artists as well as the go-betweens. The third part links these elements to the monuments and the artefacts, in order to establish how the process leading from the commissioning to the realisation took place. It also seeks to explain the intentions of the patrons
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Salas, Brown Margot, Ennis Rosas, and Carlos Carpintero. "Generalized closed sets via ideals and operator." Pontificia Universidad Católica del Perú, 2014. http://repositorio.pucp.edu.pe/index/handle/123456789/95456.
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Jiménez, Peña Gabriel. "The role of epistemic communities in the formulation of foreign economic policy in Latin America: a literature review." Politai, 2014. http://repositorio.pucp.edu.pe/index/handle/123456789/92602.
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This paper is organized as follows. The introduction determines what Foreign Economic Policy is. Then, it builds a theoretical framework about Foreign Economic Policy formulation in developing countries, with a focus in Lain America. This discusses three different approaches: system-centered, society-centered and state-centered. Then, it explores literature about epistemic communities in Latin America in order to determine to what extent this has focus on Foreign Economic Policy formulation. Finally, it explores the importance of studying the role of epistemic communities in public agencies in charge of foreign economic relations in the region.<br>Este escrito está organizado de la siguiente manera. En la introducción se discutirá en quéconsiste la política económica exterior (en adelante PEE). Luego, en primer lugar, se construye un marco teórico en torno de la formación de la PEE en los países en vías de desarrollo y, en particular, en América Latina. Ello a través de tres enfoques diferentes: centrado en el sistema, en la sociedad y en el Estado. En segundo lugar, se busca mostrar de qué manera este marco teórico podría informarse del constructivismo. Asimismo, se aborda la literatura sobre las comunidades de conocimiento latinoamericanas para determinar hasta qué punto ha sido tratada la formación de PEE. Finalmente, se arriba a una conclusión sobre la necesidad de explicar el papel de las comunidades de conocimiento en los organismos o agencias públicas encargadas de las relacioneseconómicas exteriores latinoamericanas.
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Major, René. "A la mémoire de . . . la vie la mort." Pontificia Universidad Católica del Perú - Departamento de Humanidades, 2013. http://repositorio.pucp.edu.pe/index/handle/123456789/113140.
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Mingo, Alicia de. "Vivir en público y paideía privada en las Cartas a Lucilio de L.A. Séneca." Pontificia Universidad Católica del Perú - Departamento de Humanidades, 2011. http://repositorio.pucp.edu.pe/index/handle/123456789/112959.
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Living in Public and Private Paideía in Seneca’s Epistulae morales adLucilium”. It is difficult to conceive both moral life and communitarian life withoutthe tension between the Others and the self. On the one hand, due to the cohesionof society and the individual’s search for its communitarian dimension, a sort oftransparent life, without secrets, as long as it is honest, is needed. However, onthe other hand, when the social surrounding is morally reproachable, a privatepaideía, which allows the moral orientation of the individual, is indispensable,even if this produces in him solitude and brings the incomprehension from hisfellow citizens, resulting in the construction of a private space.<br>Es difícil pensar tanto la vida moral como la vida comunitaria fuera dela tensión entre los Otros y el sí-mismo. Por una parte, de cara a la cohesión dela sociedad y a que la persona singular encuentre su dimensión comunitaria, sehace necesaria una suerte de vida transparente, sin secretos, a fuer de honesta.Sin embargo, por otra parte, cuando el entorno social es moralmente cuestionable,se hace imprescindible una paideía privada que permita la orientación moral delsujeto personal, por más que ello le reporte soledad e incomprensión por parte desus conciudadanos, debiendo, entonces, construir un espacio de privacidad.
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Häggblad, Erik, and Claes Arvidsson. "Skatta beståndsålder och ståndortsindex via flygbilder." Thesis, Linnéuniversitetet, Institutionen för skog och träteknik (SOT), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-90449.
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Hållbart skogsbruk kräver kunskap om skogens tillstånd i nutid samt tänkbara framtida åtgärder. Syftet med studien var att undersöka om det via digitala flygbilder var möjligt att skatta trädålder och SI på beståndsnivå, samt med vilken precision det kan utföras.Endast tall- och/ eller grandominerade bestånd, valdes i Vetlanda och Nybro kommun. Flygbilderna bearbetades av Foran Sverige AB med hjälp av ett program framtaget av Spacemetric AB.De fältinventerade beståndens data jämfördes med medianvärden från de skattade trädhöjderna, vilka matades in i en formel, konstruerad för att göra en kurvanpassning mot de nya höjdutvecklingskurvorna.Metoden för framtagning av höjdvärden via bildmatchning bör förfinas, t.ex. bör laserskanningen bidra med högre precision. Endast mindre delar av landet har mer än en skanningstidpunkt med laser, metoden kräver minst två höjdvärden i serie.Syftet med studien anses uppfyllt, dock hade studien tjänat på en bättre metod för att sålla bort felaktiga data innan analys. Generaliserbarheten är god på liknande bestånd, vidare studier krävs för att kunna påvisa en användarbarhet i olika typer av bestånd, där även olika skötselvarianter bör vägas in.
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Mezan, Daniela. "Manuell och automatisk analys av apné-hypopné index (AHI) under sömn vid frågeställning obstruktiv sömnapné." Thesis, Örebro universitet, Institutionen för hälsovetenskaper, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-58687.
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Caldas, Miguel, and Saeid Jafari. "On a new class of continuity via rare sets." Pontificia Universidad Católica del Perú, 2014. http://repositorio.pucp.edu.pe/index/handle/123456789/95794.
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The notion of rare continuity was introduced by Popa {15} as a new generalization of weak continuity {7}. In this paper, we introduce a new class of functions called rarely pre- θ -continuous functions as a new generalization of the class of strongly θ -precontinuous functions and investigate some of its fundamental properties.
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Guerra, Martinière Margarita. "José Chichizola Debernardi : (16.I.1936 - 17.VII.1980)." Pontificia Universidad Católica del Perú, 2014. http://repositorio.pucp.edu.pe/index/handle/123456789/113876.
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Hurtig, Christiane. "Les Princes dans la vie politique indienne depuis l'indépendance." Paris, Institut d'études politiques, 1985. http://www.theses.fr/1985IEPP0005.
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García, Saavedra Giovanna Patricia. "La acreditación de experiencia como ejecutor de obras de personas jurídicas que pertenecen a grupos económicos : aplicación normativa estricta vis-à-vis realidad comercial." IUS ET VERITAS, 2015. http://repositorio.pucp.edu.pe/index/handle/123456789/123789.
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En este artículo, se analiza, a través de la interpretación de las últimas modificaciones de la normativa y conforme a los principios de la contratación pública, la posibilidad de ampliar el espectro de análisis de acreditación de experiencia de una persona jurídica cuando esta pertenece a un grupo económico. Para ello, se basa en el desarrollo de la Ley de Contrataciones del Estado y sus modificaciones, en conjunto con el papel que tiene la OSCE. Luego desarrolla la actuación de las Personas Jurídicas, que conforman grupos económicos, en la ejecución de obras, para poder acreditar la experiencia requerida por la normativa. Se concluye el artículo haciendo una comparación a través del derecho comparado para así implementar una nueva interpretación de la norma de contratación pública. In this article, the author discusses, through the interpretation of recent changes in regulation and according to the principles of public procurement, the possibility of extending the range of accreditation of experience analysis to legal persons when belongs to an economic group. This is based on the development of the State Procurement Act, as amended, in conjunction with the role it plays the OSCE. Then develops the performance of legal persons, that form economic groups, in the execution of projects, in order to prove the experience required by the regulations. Finally, the article makes a comparison by comparative law in order to implement a new interpretation of the law on public procurement.
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Totová, Ivana. "Analýza rozkladu roztoků huminových kyselin diafragmovým výbojem." Master's thesis, Vysoké učení technické v Brně. Fakulta chemická, 2008. http://www.nusl.cz/ntk/nusl-216393.
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Preliminary results of research focused on the applications of DC diaphragm discharge in water solutions containing humic substances are presented in this diploma thesis. Electrical discharges in water produce various reactive species such as radicals (•OH, •O, •H), ions and molecules (H2O2, O3). These species have high oxidation potential and thus they easily react with order species and molecules. Such reactions could lead, for example, to destruction of organic pollutants dissolved in water. This work studies this effect on humic matters that can be contained in water coming from floods. Diaphragm discharge investigated by this work was created in the reactor using konstant DC high voltage up to 2 kV that gave the total input power from 100 to 200 W. Breakdown and discharge ignition started in the pin-hole in the dielectric barrier separating two electrode spaces (anode and cathode space). Presented work investigates decomposition of humic substances by the electric discharge in the dependence of solution properties and discharge conditions. Parameters such as initial solution conductivity, electrolyte kind or input power have been investigated. Moreover, substantial effect of pH on humic acid decomposition has been observed. Refraktometry and absorption spectroscopy in UV-VIS region together with fluorescence spectroscopy has been used for the detection of changes in humic solutions.
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Plard, Mathilde. "Vieillissement et care dans les familles transnationales indiennes : Expériences de vie de brahmanes à Chennai et Coimbatore." Phd thesis, Angers, 2012. https://theses.hal.science/tel-01011793.
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En Inde, la prise en charge des personnes âgées est traditionnellement reconnue comme étant la responsabilité des enfants, du ou des fils en particulier. Il s'agit d'un contrat intergénérationnel implicite par lequel la jeune génération, qui a été soutenue et prise en charge (phase de don) doit " rembourser " (contre-don) ses parents en prenant soin d'eux pendant leur vieillesse. Dans le contexte démographique actuel, le sud de l'Inde est marqué par un allongement de la durée de la vie et une augmentation significative des formes de mobilités internationales ; dans ces conditions, les relations intergénérationnelles évoluent. Si les migrations induisent des changements dans les mécanismes de transmission entre générations, elles modifient dans leurs formes les échanges familiaux et les solidarités intergénérationnelles. À la croisée des recherches sur le vieillissement, la famille et les migrations internationales, le terrain d'investigation des familles transnationales offre de nouvelles pistes de réflexion sur les solidarités et les prises en charges des parents vieillissants. Des études de terrain effectuées dans les villes de Chennai et Coimbatore auprès des parents (de haute caste brahmane) dont les enfants ont migré vers des pays occidentaux, ont permis d'étudier l'organisation des solidarités et de saisir les conséquences de la décohabitation entre génération dans une nouvelle géographie familiale. Ces familles transnationales interrogent les modèles organisationnels des prises en charge et des solidarités concernant les personnes âgées vivant en dehors de l'idéal type de la Hindu Joint Family - famille indivise.
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Lundström, Anton. "Databasoptimering för användning med Power BI : Hur indexering och kompression kan förbättra prestanda vid datahämtning." Thesis, Högskolan i Gävle, Datavetenskap, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-32730.
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I mätrummet på Sandvik Coromant finns en lösning för att visualisera maskinhälsa, mäthistorik och servicetider för olika mätinstrument. Lösningen för datavisualiseringen nyttjar verktyget Power BI och är kopplad till Excelfiler. När data väl hämtats in görs en rad modifieringar på tabellerna för att få fram visualiserbar data. Dessa modifieringar i kombination med många Excelark resulterar i att ledtiderna för att uppdatera en Power BI rapport blir väldigt långa. Nu önskas det att istället nyttja en databaslösning för den data dessa Excelfiler innehåller och därmed förbättra dessa ledtider. Således skapades en databas utifrån den data dessa Excelfiler innehöll. Power BI tillåter användaren att importera data från en databas till applikationen på två sätt, via Import Mode eller DirectQuery. Import Mode läser in samtliga tabeller som efterfrågas och lagrar dessa i minnet. DirectQuery ställer frågor direkt till databasen utifrån vad som efterfrågas. I och med denna skillnad i importsätt finns metoder för att optimera den databas som data läses in ifrån. Studien undersöker hur olika typer av indexering och olika typer av kompression av dessa index påverkar svarstiden på frågor ställda av Power BI för att besvara följande två forskningsfrågor: Hur påverkar olika typer av indexering av en databas datahämtningshastigheten vid användning av Power BI? Hur påverkar olika typer av kompression av index datahämtningshastigheten vid användning av Power BI? Studien utfördes genom att studera execution plans och exekveringshastighet för de frågor som ställdes mot databasen av Power BI. Med hjälp av T-SQL kunde exekveringshastigheten för en specifik fråga tas fram. Denna exekveringshastighet jämfördes sedan för de olika typerna av index och kompression mot exekveringshastigheten för samma fråga mot en tabell helt utan index. Detta utfördes sedan på tabeller med varierande antal rader, där antalet rader som testades var 33 001, 50 081, 100 101, 500 017 och 1 000 217. Resultatet av studien visar att för Import Mode är det bästa typen av index ett clustered rowstore index utan kompression, med undantag för tabeller med över 1 001 217 rader där radkompression presterade bättre. För DirectQuery presterade non-clustered rowstore index bäst, men för vilken kompression var resultatet tvetydigt. Detta eftersom samtliga typer av kompression presterade bäst för olika antal rader i tabellen. För tabeller med fler än 500 017 rader presterade dock ingen kompression allra bäst.<br>In the measurement room at Sandvik Coromant there is a solution for visualizing machine health, measurement history and service times for different measuring instruments. The data visualization solution uses Power Bi and connects to Excel files. Once the data has been collected, a number of modifications are made on the tables to produce something that is possible to visualize. These modifications in combination with many Excel sheets result in very long lead times for updating a Power BI report. Now it is desired to use a database solution for the data contained in the Excel files and thus improve these lead times. For this, a database was created based on the data that these Excel files contained. Power BI allows the user to import data from a database into the application in two ways, via Import Mode or DirectQuery. Import Mode loads all the requested tables and stores them in memory. DirectQuery runs queries directly to the database, based on what is requested. Due to this difference, there are methods to optimize the database from which the data is loaded. This study examines how different types of indexing and different types of compression affect the response time for queries ran by Power BI to answer the following two research questions: How do different types of indexing affect a database's data retrieval rate when using Power BI? How do different types of compression affect the data retrieval rate when using Power BI? This was done by studying execution plans and execution rate for the queries that was done towards the database by Power BI. With the help of T-SQL, the execution rate for a specific query was obtained. The execution rate for different types of index and compression was then compared against a table without an index. This was then performed on tables with varying numbers of rows, where the numbers of rows that were tested was 33 001, 50 081, 100 101, 500 017 and 1 000 217. The results of the study show that for Import Mode, the best type of index is a clustered rowstore index without compression, with the exception of tables with over 1 001 217 rows where row compression performed better. For DirectQuery, non-clustered rowstore index performed best, but for which compression the result was ambiguous. This was because all types of compression performed best for different number of rows in the table. However, for tables with more than 500 017 rows, no compression performed best.
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Dubos, Anne. "Quelle voix pour le théâtre ? : fabrication des corps et des identités : pour une étude du mouvement dans les théâtres contemporains au Kérala (Inde du Sud)." Paris, EHESS, 2013. http://www.theses.fr/2013EHES0521.
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La complexité de la construction de l'objet "théâtre contemporain au Kerala" relève du fait que d'une troupe à l'autre, les metteurs en scène font usage des éléments traditionnels ou conteporains selon des modalités différentes. D'où ma question initiale: quelle voix pour quel théâtre? qui parle à travers quel corps? Alors que nombreux sont désormais les festivals ou événements qui réunissent praticiens ou amateurs de théâtre, dont la pratique s'assume aujourd'hui comme contemporaine, c'est toute la tension entre la pratique des arts traditionnels et celle des arts contemporains qui s'exprime à travers la politique culturelle locale (Tarabout, 1997). A travers le discours des spécialistes, assiste-t-on à une entreprise de légitimation culturelle ou à l'émergence d'une genre artistique nouveau? Car une fois les notions de "tradition" et d' "authenticité" posées en relation dialectique à celles de "modernité" et de "globalisation", les revendications des praticiens du théâtre contemporain peuvent, soit relever d'une quête de nouvelles valeurs ou référence culturelle, soit s'inscrire en droite ligne d'un discours identitaire. Sur la base de trois monographies comparatives, à partir du travail de trois groupes, j'ai cherché à entrer dans le coeur du problème de la transmission des traditions gestuelles à travers les différentes traditions dramartugiques du Kérala. Apercevoir les nouvelles pratiques théâtrales comme des "arts de faire" décrits par le travail de Certeau, me permet d'entrevoir les arts de la scène comme une mise en pratique de l'art narratif, où la construction de soi se fait par un discours, qui n'est pas essentiellement verbal mais se constitues également par des signes matériels (techniques du corps; scénographie, musique. . . )<br>Performing arts are an integral part of Malayalee culture and malayalee identity. Nearly all of the existing study is focused on classical and folk forms, such as Kathakali and Theyyam, however there is a serious gap in our understanding of contemporary theater in Kerala. Contemporary theater can be thought as a kind of "hybrid cultural product", existing between traditional and modern forms; it refers both to the Natyashastra, as well as the modern contributions of figures such as Grotowski and Stanislavski. This research aims to trace new theatrical practices and scenographic techniques that have developed from the interplay of local "native" theater and contemporary performance aesthetics. To get an overview of contemporary malayalee productions, the fieldwork examined several theatre groups, by way of participatory observation, including: Lokadharmi in Cochin, Sopanam and Abhinaya in Trivandrum, and the Thrissur School of Drama. The differences in the motivations of these groups (regarding issues such as caste, class and gender) illustrate new paradigms that are at the core of local discourse on culture. Is there an invention of tradition? In this vein, we examine the dynamism of local cultural production and consumption. Since the way one moves can inscribe one's identity, we have to examine the elaboration of a body language. The body will be questioned, first, as the simple body of the performer. The extensive video and photographic work, while serving to document the production of the theatre groups, also became the source of some participatory experimentation. For example, the video projects allowed the performers to experiment with their own image and, in turn, integrate these creations into the scenographic design. The reflexive use of image taking made for a unique exchange of ideas between observer and performer
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Tso, Pi-Chin, and 卓必靖. "Hedging Effectiveness Basedon the VIX Index for Taiwan Index Options." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/kd5xy6.
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碩士<br>銘傳大學<br>財務金融學系碩士在職專班<br>92<br>Chicago Board Options Exchange (CBOE) introduced VIX Index (Volatility Index) in 1993. VIX index utilizes the variability of volatility while trading options to measure expected future stock market volatility. The index can be used to characterize investors’ psychological response. Therefore, it is referred to as “the investor fear gauge.” In American stock market, VIX Index is also employed by institutional investors as the trading and hedging signal of judging the direction of the market.
Taifex Index Options was introduced by Taiwan Futures Exchange in December, 2001. However, it has not prepared the corresponding VIX index yet. Simulating on the framework of preparing CBOE VIX, one of the main purposes of this study is to prepare the corresponding VIX index for Taiwan index options. Based on the prepared VIX index for Taiwan index options, another purpose of this study is to explore the hedging effectiveness of three spot indices, i.e., TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) index, Electron index, and Finance Insurance index, respectively, under different hedging models.
Two types of hedging models are employed under this study: the ordinary least squares (OLS) models and the error correction model (ECM). The former type include three categories of OLS models: the price level, the change of the price level, and the percent change of the price level.
The empirical results reveal that the longer the hedging period, the better the hedging effectiveness for all spot indices and for all hedging models. For the hedging models, the OLS model based on the price level has the highest hedging effectiveness, the ECM model is next. Finally, the VIX based hedging effectiveness is better than the conventional hedging models. For three spot indices to be hedged, the TAIEX index has the highest hedging effectiveness, the Electron index is next. The Finance Insurance index has the lowest hedging effectiveness. The possible reason for this result is that the correlation of Electron and Finance Insurance indices with the VIX index is not as high as that of TAIEX index, which is the underlying index when preparing the VIX index.
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Chang, Kai-Yu, and 張凱喻. "The relation between the Implied VIX Spreads of VIX options and the future change of VIX index." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/74995042470113913767.
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碩士<br>國立臺灣大學<br>財務金融學研究所<br>99<br>This study focuses on the relationship between implied VIX spread of VIX options and future change of VIX index. Implied VIX spreads are calculated from Put-Call Parity, besides, in this study, we offer three methods: the simple average, the weighted mean, and the nearest maturity and the closet at-the-money methods to get daily implied VIX spread. And we incorporate the implied VIX spread in ARIMA(1,1,1) and probit models with other economic variables to see whether it could improve the accuracy of forecast. According to our empirical result, the implied VIX spread is statistically significantly and it can strengthen prediction of VIX. Furthermore, we construct a naïve trading strategy based on the forecasting results, although gaining positive excess returns, we bear quite large risk.
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Chiu, Ying-Tzu, and 邱映慈. "The informational role of VIX option markets in the prediction of VIX index." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/53530872470317235486.
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碩士<br>國立臺灣大學<br>財務金融學研究所<br>99<br>In this study we focus on the VIX option market to inspect whether this market is a venue where informed investors are present. We use intraday data from January 2008 to March 2010 to analyze the quote revisions and net trade volume of VIX options and examine their predictive ability for VIX index. Specifically, the interrelationships among VIX index returns, option quote returns and option net trade volume are analyzed using a VAR model. Our results reveal that lagged option returns have some predictive ability for VIX returns, while option net trade volume conveys little information about future VIX returns. On the other hand, both the net trade volume of call and put possess some information on their own quote revisions, even after controlling the influence of quote returns of VIX index, call and put. The impact of monetary announcements is also analyzed in this study and the results show that the ability of option markets to predict VIX index returns is affected slightly, where only lagged call returns relate to subsequent VIX index and put returns on announcement days.
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CHENG, SHIH-YANG, and 程士洋. "VIX Index and Stock Returns in Different Countries." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/b7cq6h.
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碩士<br>國立雲林科技大學<br>財務金融系<br>106<br>ABSTRACT
The thesis is to use volatility index of Chicago Board Options Exchange (VIX) to construct an investment strategy of timing for long or short position. Specifically, I first use stock index of 18 countries from Asia, America, and Europe as research sample, further analyzing whether the VIX can be applied in timing for long or short position. Different from prior research, his study decompose the data by historical financial events: the first stage is the monthly data from January 2006 to December 2012, while the second stage is daily data from the first trading day of 2013 to last trading day of 2016. Using vector auto-regression, the empirical results show that the stock return is positive for the first and the second stage. Therefore, the investor can refer this evidence as the investment strategy.
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Hu, Ting-Han, and 胡庭翰. "Exchange Trading Fund volume correlation with VIX index." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/b3vk69.
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Wang, Wei-An, and 王維安. "Optimal Estimation and Forecasting of Lévy Models of VIX Index and Valuation of VIX Derivatives." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/33916536044952412836.
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碩士<br>國立高雄應用科技大學<br>金融資訊研究所<br>98<br>In view of the subprime mortgage crisis, this article analyzes and investigates the jump risk of VIX index. We use different Lévy models to capture the dynamic jumps processes of VIX index and follow Bollerslev, Law and Tauchen (2007) to analyze the statistical significance of the jump risk. The more suitable Lévy models of VIX index are explored by using the data of VIX index from 1990/1/2~2009/12/31 in empirical analysis. Then we proceed with forecasting of VIX index from 2010/1/4~2010/3/31 by using the more suitable Lévy models of VIX index and analyze the ability of forecasting. Eventually, we use the more suitable Lévy models to price the VIX derivatives by utilizing Esscher transform and Fourier transform. Furthermore, we investigate how some important parameters of models impact on the value of VIX derivatives. The empirical results show that the dynamic processes of VIX index has significant jump phenomenon indeed. Besides, the NIG process is the fittest Lévy model of dynamic processes of VIX index from 1990/1/2~2009/12/31. But, the LJD model has more better ability of forecasting on forecasting dynamic processes of VIX index from 2010/1/4~2010/3/31. In numerical analysis, the parameter of the tail heaviness of steepness has the largest effect and negative correlation on the price of VIX call option of NIG process. On the other hand, the parameters of the jump intensity, and the standard deviation of total jump size have the largest effect and positive correlation on the price of VIX call option of LJD process.
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Yang, Shu-Yuang, and 楊舒媛. "Modelling the VIX index and hedging the S&P 500 futures using VIX opions." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/6es2yp.
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碩士<br>國立中央大學<br>統計研究所<br>103<br>VIX is a popular measure of the implied volatility of Standard and Poor 500 (S&P 500)
index options, it is a trademarked ticker symbol for the Chicago Board Options Exchange
Market Volatility Index, and it represents one measure of the market's expectation of
stock market volatility over the next 30 day period. This thesis investigates the volatility
clustering phenomenon and compares the tting performance of several GARCH-typed
models. In addition, because there is a negative relationship between VIX index and S&P
500 index, hedging performances for S&P 500 index futures using VIX options and S&P
500 options are also compared. It is interesting to nd that, to hedge the downward risk
of S&P 500 index future using VIX call options outperforms than using S&P 500 option.
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Hsu, Wei-Hung, and 徐瑋鴻. "Research of the Relationship between VIX index and TAIEX." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/72300258243296313213.
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碩士<br>世新大學<br>財務金融學研究所(含碩專班)<br>102<br>This dissertation discusses VIX index returns is associated with sexual TAIEX share index returns of eight categories (Cement Industry, Financial Industry, Food Industry, Textile fibers Industry, Papermaking Industry, Plastic Chemical Industry, Electromechanical Industry and Construction Industry) we collect daily data from January 2, 2004 to December 31, 2012. Divided into two stages. The first stage, from January 2, 2004 to August 29, 2008. The second stage, from September 2, 2008 to December 31, 2012. Indicate whether the VIX index will affect the rate of return between each other for eight categories TAIEX share index returns.
Firstly, in order to test the ADF unit root test all the variables of the existence of stable equilibrium relationship. Time series are stationary state then do a Ganger Causality test, Vector Auto-regression Model,VAR, Impulse-response Analysis To do the test. The empirical results show that before the financial crisis and financial turmoil eight categories of stock index returns on VIX index returns Individually unidirectional Ganger Causality test. Changes will return VIX index stock index returns eight categories of impact. In the Vector Auto-regression Model,VAR and Impulse-response Analysis Show eight categories share index returns are affected VIX index returns lag phases of each.
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Wu, Jia-Rong, and 吳家融. "VIX Index Analysis using Copula-Based Markov Chain Models." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/c422ta.
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碩士<br>國立中央大學<br>統計研究所<br>106<br>The VIX volatility index, which is known as the "CBOE Volatility Index," is the index that Chicago Option Exchange based on S&P 500 Index to calculate the implied volatility, then obtain through weighted average. We use the copula based Markov chain model to explore the relevance of the volatility index. Since the volatility index is positive, we use gamma distribution as the marginal distribution. Because the model sets the part with the cumulative probability function, the cumulative probability function of the gamma allocation is not closed, and the problems arising from partial differentiation of the model, we decided to use Bayesian theory to estimate the parameters of the model. The Metropolis-Hastings algorithm can be used to estimate the parameters in our model, and then use the conditional probability method to generate correlated simulation data to verify the Bayesian theory method under the copula-based Markov chain model can be estimated. In empirical analysis, we use the VIX index as our empirical analysis data.
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Wen, Shih-Yi, and 溫士懿. "The relation between the Volatility Spreads of VIX options and the future change of VIX index." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/63235396039835082662.
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Huang, Huang-yao, and 黃煌堯. "The Influence of VIX Index in Taiwan Wealth Management Industry." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/trwph3.
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碩士<br>國立中山大學<br>兩岸高階主管經營管理碩士在職專班<br>103<br>VIX Index was established by Chicago Board Options Exchange (CBOE) 1993 order to react how much of the wave was predicted by investors in stock market. However, Whaley believes there is an opposite relation between VIX Index and stock market prices by historical data because of the investor sentiment will affect the investor’s trading strategy in stock market. (Whaley, 2000). Due to this opposite relation, VIX Index is also named “the Investor Fear Gauge”.
We believe that VIX Index could be useful to not stock trading strategy but portfolio management in Wealth Management by back-testing market data 2002-2014. The data shows the moment of using financial leverage by VIX Index could make the portfolio 3.84% higher per year, 46.15% higher 2002-2014 than the portfolio without leverage. Hence, we believe VIX Index should be used more in Wealth Management.
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Huang, Yun-Chun, and 黃筠珺. "The Impact of Liquidity and VIX Index on Momentum Strategies." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/44jh78.
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碩士<br>中原大學<br>財務金融研究所<br>106<br>The purpose of this thesis is to investgate the relation of stock market liquidity, VIX index and momentum strategy using monthly data during 1990 to 2014 in American stock market. Moreover, this thesis examines whether the relation of stock market liquidity, VIX index and momentum strategy will change in the different market state. The method to carry out this thesis refers to Karolyi et al. (2012) for the definition of liquidity and is calculated with weight. VIX Index is the investor sentiment proxy variable. With respect to the market states are the change of investor sentiment and in the bull or bear market. The empirical results show that the liquidity has a significant positive impact on momentum strategy, and the effect is weaker as soon as the holding period is becoming longer. Not only liquidity but VIX index inflects momentum strategy. When VIX index get higher, the returns on momentum strategy will decrease. In different market state, such as investor sentiment change, in the bull or bear market, momentum returns will also be influenced by liquidity and VIX Index.
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Zhen, Liu Hui, and 劉惠真. "The Investment Strategies of Stock Market based on VIX Index." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/78aag7.
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碩士<br>國立高雄應用科技大學<br>金融系金融資訊碩士在職專班<br>106<br>This research explores the time series relevance between S&P500 and VIX based on VAR (Vector Autoregression model), further establish six sets of security threshold and dangerous threshold per VIX to construct stepwise dynamic adjusting investment strategy. Each threshold combination is established 5 VIX individually as the
investment strategy on the basis of technical indicator, proceeding with S&P equity investment. Through strategy from different combination back testing individually to conduct empirical research as well as conduct empirical performance analysis by the investment method of buying and hold. The research was spanning from Jan 1st,1993 to Feb 1st,1993. Each variable covers 7083 daily data.
The main empirical research shows:
1. VIX has a significant impact on the return rate of S &P 500, yet the leading periods are within the observation period of 5 specimens. The investment
strategy on this research is VIX-based and taking the signal with 5 phases of VIX as the decision of entering the market as well.
2. Buying and holding still makes the best return rate, but 5 VIX-based investment strategy can significantly reduce the risk like: investment volatility, various levels of downside risk and maximum loss.
3. In general, assessing the RRR of return rate after risk adjustment, 5 VIX-based
investment strategy is better than buying and holding strategy. In addition, the combination of thresholds with a lower threshold A,B, C, are more excellent in
each of the five strategies.
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Wu, Wen-Hong, and 吳文洪. "Research of asymmetric volatility based on Taiwan option VIX index." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/sqfwz3.
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碩士<br>銘傳大學<br>管理研究所碩士在職專班<br>93<br>The paper uses daily closed option data, index data and one-year issued security interest rate on money market to do asymmetric volatility research. First of all, we utilize the methodology of calculating VIX index modified by CBOE, and take on-the-money and out-the-money option price data to calculate recent-month and next recent-month implied volatility, then combined with weighted average method, VIX index is found. After that, two types of asymmetric volatility VIX models are designed with nonparametric principle, day and week stock index data are then checked with their statistics characteristics, and instrument variable is also considered. Finally the coefficients of asymmetric volatility VIX model are solved, and different news impact curves including GJR and EGARH model are drawn and compared. The results show that the simulated volatility on positive side of error for GJR and EGARH model is smaller than VIX model. In other words, VIX nonparametric model can describe asymmetric large volatility on both residual sides, but it’s hard to decide the exact bandwidth value.
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Dong, Yuan-Cheng, and 董元晟. "A Study of Appling VIX Index to Options Trading Strategies." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/s5wssr.
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碩士<br>銘傳大學<br>財務金融學系碩士在職專班<br>97<br>Based on the volatility index of CBOE (Chicago Board Options Exchange), Taiwan Futures Exchange constructed the Taiwan VIX Index to help TAIEX options traders to analyze market trends and make finanacial decision of trading strategy. In this study, the options trading strategy are formulated utilizing the signal of VIX Index to improve the trading performance. The period of this study is from Jan. 1, 2007 to Dec. 31, 2008. The empirical results indicate that our methodology can improve trading performance in considering with net profit, Sharpe Ratio, trading volumes and profit ratio. At the same time, the strategy of writing calls and the spread trading strategy could obtain better performance in our trading experiments.
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Lin, Yih-Feei, and 林翊飛. "The Study of the Minutely Relationship Between VIX and TAIEX Index." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/18843172449875330027.
Full textAbstract:
碩士<br>國立交通大學<br>資訊管理研究所<br>95<br>This study aims to discuss the minutely relationship between VIX and TAIEX index. VIX could be viewed as the sentimental index of the TAIEX index options investors. When VIX raises, it means the market would have fierce inverse change. Thus, this study try to apply VIX and technical analysis , in order to calculate the technical index of VIX. Taking the technical index of VIX as input, this study combines self-organization map and backward propagation neural network to construct TAIEX index forecasting system for TAIEX index options investors as reference.
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Chen, Yen-Ming, and 陳彥銘. "The Asymmetry Relationship between Time-varying Risk Aversion and VIX Index." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/13700270472128426163.
Full textAbstract:
碩士<br>國立臺灣大學<br>財務金融學研究所<br>100<br>In this paper, the main issue we want to discuss is that whether the investors’ risk aversion is asymmetric to the VIX levels and innovations. We will also examine relationship between time-varying risk aversion and some variables other than VIX. Our method is based on Bollerslev, Gilbson and Zhou (2011) who use the moment condition involving VIX and realized volatilities to approximate the investors’ risk aversion. We extend the method to a daily basis and obtain the daily risk aversion series. We find that risk aversion has an asymmetric relationship with VIX levels and innovations on a daily basis. The relation become less significant when changing the data into a monthly basis and the asymmetric relation disappears when including the macro-variables. The macro- variables also have explanatory power on risk aversion.
It suggest that risk aversion is economic state-dependent.
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Wang, Yu-Janet, and 王毓禎. "The Relationships among Dow Jones Industrial Average，dollar index and VIX volatility." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/3nz987.
Full textAbstract:
碩士<br>國立高雄應用科技大學<br>財富與稅務管理系碩士在職專班<br>103<br>This study used time series method to analyze the correlations among the U.S. Dow Jones Index (INDY), the U.S. dollar index (DXY), and the volatility index (VIX) between 2008 and 2014. It focused on investigating the following: whether INDY and DXY are positively correlated; whether INDY and VIX are negatively correlated; and the correlation among one another..
Through the unit root test, we can see that all the raw data of INDY, DXY and VIX have a unit root and are non-stationary. But all of the variables appear to be of stationary series after applying the first-order differential treatment.
The empirical results of the Johansen co-integration analysis show that there is a long-term stable equilibrium relationship among INDY, DXY, and VIX. The empirical results of the vector error correction model (VECM) show that INDY, DXY, and VIX are all affected by their own changes in the lag period.
The empirical results of Granger causality show that there is a two-way casual relationship between DXY and VIX, and a one-way leading relationship of INDY towards DXY. There is an independent relationship between INDY and VIX with no impact to one another.
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Wu, Chiao-Chen, and 吳蕎蓁. "The Investment Strategies of Stock and Bond Markets based on VIX Index." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/643pzm.
Full textAbstract:
碩士<br>國立高雄應用科技大學<br>金融系金融資訊碩士在職專班<br>105<br>This research subject is building some ways of " the Strategy of Stock debt of investment of third kind "this subject is divided into three ways:
1.The Strategy of investing single product of Stock & Bond
2. The Strategy of investing of fixed proportion.
3.The Strategy of trend of Stock debt by following to the VIX
These three kinds of strategy, according to remuneration' risk' RRR' Sharpe' and downside risk ,achievement measurement get on investment fund behavior and statistical analyzing
Verification result: 1.It's the best way to long -term investing by following the Strategy of investing single product of Stock & Bond, But the other way, Analyzing by sharpe, Standard deviation,VaR. Bonds investing is obviously best than another 2. According to the Strategy of investing of fixed proportion by setting 20%' & 80% for a long time,it will shown us a top Sharp. 3.The Strategy of three types of VIX form activities combine with 20% & 80% of Stock debts,It's obiously Outstanding shown on Sharp & downside risk! 4.In general,the Strategy of four types of assets setting,the Strategy of VIX form activities can rise all the single stock investing's Sharp Value but lower bond 5.VIX(40-15)is Outstanding in the Strategy of VIX
From the testing value of the Strategy of investment,Obviously, Equity investment of Average remuneration is not higher than Strategy of VIX,but the risk is higher than Strategy of VIX;Even though the Strategy of VIX is higher than Strategy of creditor's rights ,but the risk is higher than Strategy of creditor's rights