Relevant bibliographies by topics / Volatility Trading Strategy

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers

Academic literature on the topic 'Volatility Trading Strategy'

Author: Grafiati
Published: 4 June 2021
Last updated: 2 February 2022

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Journal articles on the topic "Volatility Trading Strategy"

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Cho, Jang Hyung, Robert Daigler, YoungHa Ki, and Janis Zaima. "Destabilizing momentum trading and counterbalancing contrarian strategy by large trader groups." Review of Accounting and Finance 19, no. 1 (September 19, 2019): 83–106. http://dx.doi.org/10.1108/raf-03-2019-0054.

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Purpose The purpose of this paper is to assess trading strategies adopted by each large trader group and examine their effects on the volatility in the interest rate futures markets. Design/methodology/approach The Grinblatt et al.'s (1995) measure of momentum strategy is used to estimate the degree momentum and contrarian strategies. Then, regression analysis is used to determine the effects of trading strategies on volatility. Findings Up until 2005, the trades by non-clearing member firms in the futures market were separated from institutional traders providing us the opportunity to study trading strategies adopted by large distinct trading groups and its effects on volatility in the futures markets. It is found that individual traders use momentum strategy, whereas market makers and institutional traders use contrarian strategy. Momentum strategy adopted by individual traders increases volatility whereas contrarian strategy dampens volatility. Moreover, it is found that institutional traders engage more actively in contrarian trading when individual traders cause excessive volatility. The two distinct trading groups were separately tracked prior to 2005 giving us a unique window to determine the effect of the traders that conduct momentum trading as opposed to the ones that are contrarian traders. After the reclassification, the institutional trading group exhibited weaker contrarian strategy which can be attributed to the inclusion of non-clearing firm traders. Originality/value This study documents the first empirical evidence that shows off-exchange futures trader group is not composed of only pure noise makers, but there are short-term forecasters in its group. The authors also show a unique finding that noises caused by off-exchange group is from momentum strategy that they use, whereas contrarian strategy is used by institutional trader lower volatility.
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Liu, Dehong, Yucong Liang, Lili Zhang, Peter Lung, and Rizwan Ullah. "Implied volatility forecast and option trading strategy." International Review of Economics & Finance 71 (January 2021): 943–54. http://dx.doi.org/10.1016/j.iref.2020.10.023.

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Franke, Günter. "Exchange rate volatility and international trading strategy." Journal of International Money and Finance 10, no. 2 (June 1991): 292–307. http://dx.doi.org/10.1016/0261-5606(91)90041-h.

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Singh, J. P. "On Volatility Trading & Option Greeks." GIS Business 12, no. 4 (July 22, 2017): 20–31. http://dx.doi.org/10.26643/gis.v12i4.3351.

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Commensurate with this exponential growth in the depth and breadth of derivative markets and the range of financial products traded therein, there needs to be developed a comprehensive mathematical framework to support the, hitherto, empirically established features of trading strategies involving these instruments. It is the objective of this article, to provide a mathematical backup for the various properties of volatility trading strategy using call options. Additionally, an attempt is made to elucidate the implications of behavior of various option Greeks on volatility trading.
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Kwon, Soon Shin, Byung Jin Kang, and Jay M. Chung. "Performance of Option Based Strategy Benchmark Index." Journal of Derivatives and Quantitative Studies 26, no. 2 (May 31, 2018): 183–216. http://dx.doi.org/10.1108/jdqs-02-2018-b0002.

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This paper develops “Strategy Benchmark Index (SBI)” using KOSPI200 options data from January 2004 to March 2017, and then investigates their performances. The SBIs were constructed in the same way as those published daily by CBOE. To effectively analyze the performance of these SBIs, we classified them into four types : (1) Return enhancement SBIs (six indices), (2) Volatility trading SBIs (two indices), (3) Directional trading SBIs (two indices) and (4) Other SBIs (two indices). The return enchancement SBIs include bechmark indices tracking the performance of various covered call strategies and put writing strategies, which are generally used to increase investment returns. The volatility trading SBIs include benchmark indices tracking the performance of well-known volatility trading strategies such as butterfly spread and condor. Benchmark indices tracking the performance of various types of zero-cost collar strategies are classified into the directional trading SBIs. Our empirical results are as follows. First, the risk-adjusted performances of nine SBIs of the total twelve SBIs constructed from KOSPI200 index options has been shown to be great. Second, from a portfolio perspective, some SBIs can be helpful to improve the portfolio performance of CRRA (Constant Relative Risk Aversion) investors. These results imply that passive investment strategies with KOSPI200 index options can provide additional benefits that both equities and bonds do not provide. Third, even when we use the traditional mean-variance framework other than expected utility theory to verify the economic benefit of the SBIs, our empirical results are found to be still valid. In conclusion, our results suggest that some passive investment strategies using KOSPI200 index options would be beneficial to long term investors.
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Choi, Byungwook. "Do the Option Prices Forecast Spot Price? Evidence from the KOSPI 200 Index Option Market." Journal of Derivatives and Quantitative Studies 19, no. 3 (August 31, 2011): 251–80. http://dx.doi.org/10.1108/jdqs-03-2011-b0002.

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This study investigates a forecasting power of volatility curvatures and risk neutral densities implicit in KOSPI 200 option prices by analyzing minute by minute historical index option intraday trading data from January of 2007 to January of 2011. We begin by estimating implied volatility functions and risk neutral price densities based on non-parametric method every minute and by calculating volatility curvature and skewness premium. We then compare the daily rate of return of the signal following trading strategy that we buy (sell) a stock index when the volatility curvature or skewness premium increases (decreases) with that of an intraday buy-and-hold strategy that we buy a stock index on 9:05AM and sell it on 2:50PM. We found that the rate of return of the signal following trading strategy was significantly higher than that of the intraday buy-and-hold strategy, which implies that the option prices have a strong forecasting power on the direction of stock market. Another finding is that the information contents of option prices disappear after three or four minutes.
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Beyer, Scott B., J. Christopher Hughen, and Robert A. Kunkel. "Noise trading and stock market bubbles: what the derivatives market is telling us." Managerial Finance 46, no. 9 (May 12, 2020): 1165–82. http://dx.doi.org/10.1108/mf-01-2019-0052.

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PurposeThe authors examine the relation between noise trading in equity markets and stochastic volatility by estimating a two-factor jump diffusion model. Their analysis shows that contemporaneous price deviations in the derivatives market are statistically significant in explaining movements in index futures prices and option-market volatility measures.Design/methodology/approachTo understand the impact noise may have in the S&P 500 derivatives market, the authors first measure and evaluate the influence noise exerts on futures prices and then investigate its influence on option volatility.FindingsIn the period from 1996 to 2003, this study finds significant changes in the volatility and mean reversion in the noise level and a significant increase in its relation to implied volatility in option prices. The results are consistent with a bubble in technology stocks that occurred with significant increases in noise trading.Research limitations/implicationsThis study provides estimates for this model during the periods preceding and during the technology bubble. The study analysis shows that the volatility and mean reversion in the noise level are much stronger during the bubble period. Furthermore, the relation between noise trading and implied volatility in the futures market was of a significantly larger magnitude during this period. The study results support the importance of noise trading in market bubbles.Practical implicationsBloomfield, O'Hara and Saar (2009) find that noise traders lower bid–ask spreads and improve liquidity through increases in trading volume and market depth. Such improved market conditions could have positive effects on market quality, and this impact could be evidenced by lower implied volatility when noise traders are more active. Indeed, the results in this study indicate that the level and characteristics of noise trading are fundamentally different during the technology bubble, and this noise trading activity has a larger impact during this period on implied volatility in the options market.Originality/valueThis paper uniquely analyzes derivatives on the S&P 500 Index in order to detect the presence and influence of noise traders. The authors derive and implement a two-factor jump diffusion noise model. In their model, noise rectifies the difference of analysts' opinions, market information and beliefs among traders. By incorporating a reduced-form temporal expression of heterogeneities among traders, the model is rich enough to capture salient time-series characteristics of equity prices (i.e. stochastic volatility and jumps). A singular feature of the authors’ model is that stochastic volatility represents the random movements in asset prices that are attributed to nonmarket fundamentals.
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Bayram, Mehmet, and Muzaffer Akat. "Market-neutral trading with fuzzy inference, a new method for the pairs trading strategy." Engineering Economics 30, no. 4 (October 30, 2019): 411–21. http://dx.doi.org/10.5755/j01.ee.30.4.14350.

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Financial pricing and prediction of stock markets is a specific and relatively narrow field, which have been mainly explored by mathematicians, economists and financial engineers. Prediction with the purpose of making profits in a martingale domain is a hard task. Pairs trading, a market neutral arbitrage strategy, attempts to resolve the drawback of unpredictability and yield market independent returns using relative pricing idea. If two securities have similar characteristics, so should their prices. Deviation from the acceptable similarity range in prices is considered an anomaly, and whenever noticed, trading is executed assuming the anomaly will correct itself.This work proposes a fuzzy inference model for the market-neutral pairs trading strategy. Fuzzy logic lets mimicking human decision-making in a complex trading environment and taking advantage of arbitrage opportunities that the crisp models may miss to acquire for the trade decision-making. Spread between two co-integrated stocks and volatility of the spread is used as decision-making inputs. Spread is a measure of the distance between two stocks and volatility is an indicator of how soon the spread would disappear. We conclude that fuzzy engine contributes to the profitability and efficiency of pairs trading type of strategies.
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Grobys, Klaus, and Sami Vähämaa. "Another look at value and momentum: volatility spillovers." Review of Quantitative Finance and Accounting 55, no. 4 (April 8, 2020): 1459–79. http://dx.doi.org/10.1007/s11156-020-00880-2.

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Abstract This paper examines volatility interdependencies between value and momentum returns. Using U.S. data over the period 1926–2015, we document persistent periods of low and high volatility spillovers between value and momentum strategies. Moreover, we find that the intensity of the volatility spillovers may change substantially in very short periods of time and that these shifts in spillover intensity can be linked to prominent economic events and financial market turmoil. Our results further demonstrate that value returns increase and momentum returns decrease monotonically with increasing volatility spillovers between the two strategies. Given this linkage between spillover intensity and returns, we propose a simple trading strategy which utilizes a volatility spillover index for allocating funds between value and momentum portfolios. The proposed trading strategy outperforms value and momentum strategies and generates payoffs that are not subject to option-like behavior.
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Camilleri, Silvio John. "Do call auctions curtail price volatility? Evidence from the National Stock Exchange of India." Managerial Finance 41, no. 1 (January 12, 2015): 67–79. http://dx.doi.org/10.1108/mf-10-2013-0292.

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Purpose – The purpose of this paper is to empirically investigate whether call auctions which batch orders for simultaneous execution, may restrain stock market volatility. Design/methodology/approach – The authors use high-frequency data to investigate volatility changes following the suspension of opening and closing call auctions on the National Stock Exchange (NSE) of India in 1999. The authors evaluate this issue by considering both modelled and realised volatility. Using a GARCH approach the authors model intra-day volatility for the trading days preceding and succeeding the auction suspension. The authors also scrutinise return distributions to look for volatility changes during different parts of the day. Findings – When interpreted collectively, the empirical results suggest that the auction suspension was followed by reduced volatility particularly in the middle of the trading day and at the closing. Practical implications – Given that auctions are often incorporated in trading systems with the aim of curtailing volatility, the main conclusion, that the auction suspension was followed by lower volatility, has important practical inferences. Auctions cannot be automatically relied on to reduce volatility. The intricacies of the auction protocol and their interaction with ancillary market microstructure features may impact on auction efficacy. Originality/value – The paper adopts a novel approach towards assessing the effectiveness of auctions by considering an unusual occurrence of an auction suspension. The empirical setting enables a clear comparison of the respective regimes since these periods do not materially differ in other subsidiary aspects. This is a noteworthy factor, since the empirical contexts considered in prior studies, often feature several simultaneous changes.
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Dissertations / Theses on the topic "Volatility Trading Strategy"

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Wee, Marvin. "Institutional versus retail traders : a comparison of their order flow and impact on trading on the Australian Stock Exchange." UWA Business School, 2006. http://theses.library.uwa.edu.au/adt-WU2006.0026.

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The objective of the thesis is to examine the trading behaviour and characteristics of retail and institutional traders on the Australian Stock Exchange. There are three aspects of these traders that are of particular interest to this study: (1) the information content of their trades, (2) their order placement strategies, and (3) the impact of their trading on share price volatility. Trades made on the basis of private information such as those by institutional traders are found to be associated with larger permanent price changes while trades by uninformed traders such as retail traders are found to be associated with smaller changes. In addition, institutional trades are found to have smaller total price effect compared to retail trades suggesting retail traders incur higher market impact costs. In order to profit from potentially short-lived information advantage, informed traders are expected to place more aggressive orders. The analysis of the order price aggressiveness showed institutions are more aggressive than other traders. In addition, retail traders are found to be less aware of the state of the market when placing aggressive orders. The analysis of the limit order book found significant differences between the contributions of institutional and retail traders to the depth of the limit-order book, with retail standing limit orders further from the market. This is consistent with the conjecture that uninformed traders such as retail traders have greater expected adverse selection costs. The effect of trading by retail and institutional traders on price volatility are also investigated. There is some evidence that retail traders are more active and institutional traders are proportionally less active after periods of high volatility. Also, the effect of the order activity from different trader types on volatility differs depending on the measure of order activity used.
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Silva, Kesley Leandro da. "Estratégias de momentum no mercado cambial." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/15773.

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Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Kesley, Segue abaixo as alterações que deverão ser realizadas em seu trabalho: - O arquivo deve estar em pdf. - Nome e Título em Letra maiúscula. - Retirar a sigla SP que consta ao lado de SÃO PAULO. - A ficha catalográfica deve estar na parte inferior da pagina - Centralizar os títulos Resumo e Abstract - As páginas anteriores da Introdução não podem estar numeradas. Em seguida, submeter novamente o trabalho. Att on 2016-03-10T21:57:30Z (GMT)
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Utilizo dados semanais para investigar a lucratividade de estratégias de momentum no mercado de câmbio baseadas em dois diferentes métodos de extração da tendência, possivelmente não linear. Comparo a performance com as tradicionais regras de médias móveis, método linear bastante utilizado pelos profissionais do mercado. Eu encontro que o desempenho de todas as estratégias é extremamente sensível à escolha da moeda, às defasagens utilizadas e ao critério de avaliação escolhido. A despeito disso, as moedas dos países do G10 apresentam resultados médios melhores com a utilização dos métodos não lineares, enquanto as moedas dos países emergentes apresentam resultados mistos. Adoto também uma metodologia para o gerenciamento do risco das estratégias de momentum, visando minimizar as 'grandes perdas'. Ela tem êxito em diminuir as perdas máximas semanais, o desvio-padrão, a assimetria e curtose para a maior parte das moedas em ambas as estratégias. Quanto ao desempenho, as operações baseadas no filtro HP com gestão do risco apresentam retornos e índices de Sharpe maiores para cerca de 70% das estratégias, enquanto as baseadas na regressão não paramétrica apresentam resultados melhores para cerca de 60% das estratégias.
I use weekly data to investigate the profitability of momentum strategies in the currency market based on two different methods of trending extraction, possibly nonlinear. I compare the performance with the traditional moving averages rules, linear method of trading broadly used by market professionals. I find that the performance of all strategies is extremely sensitive to the choice of currency, lags parameters and the evaluation criteria. Nevertheless, the G10 currencies show better average results with the nonlinear methods, while the emerging market currencies show mixed results. I also adopt a methodology for managing the risk of momentum strategies to minimize the “worst crashes”. It works to lower the maximum weekly losses, the standard deviation, the skewness and the kurtosis for most currencies in both strategies. In terms of performance, HP filter with risk-managed momentum shows higher return and Sharpe ratio for about 70% the observations, while those based on nonparametric regression show higher numbers for about 60% the observations.
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Coufalík, Jan. "Opční strategie a oceňování měnových opcí." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-199783.

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The aim of this diploma thesis is to analyze and implement selected option pricing models using statistical software. The first chapter introduces theoretical basics of options as financial instruments ideal for hedging and speculation. The second chapter constitutes the core part of this thesis since it unveils theoretical concepts of risk-neutral pricing and at the same time analyze some basic, as well as highly sophisticated option pricing models. In addition, each model is accompanied by a practical example of their effective implementation. The final chapter characterize the most widely used option trading strategies and defines the ideal expected market development linked to each strategy.
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Aichele, Markus Ferdinand [Verfasser], and Manfred [Akademischer Betreuer] Stadler. "Strategic Aspects of Forward Trading on the German Electricity Market. Consequences for Volatility, Competition, and Investment / Markus Ferdinand Aichele ; Betreuer: Manfred Stadler." Tübingen : Universitätsbibliothek Tübingen, 2016. http://d-nb.info/116401790X/34.

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Yang, Chin, and 楊蓁. "Low Volatility Portfolio Trading Strategy." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/7a7f4u.

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碩士
國立中央大學
財務金融學系
105
The low risk asset will earn high return, which is contrary to the traditional financial theory, and this phenomenon is called low volatility anomaly. This paper is about the relationship between low volatility portfolio return and market risk. First, verifying whether Taiwan stock market has low volatility anomaly phenomenon and whether market risk can explain low volatility portfolio return. Then, testing whether low volatility portfolio can predict market risk. Finally, analyzing low volatility trading strategy. The results show that the Taiwan stock market indeed has low volatility anomaly phenomenon and market risk will influence low volatility portfolio return, so low volatility portfolio return can be an indicator to predict market risk. In addition, low volatility trading strategy belong to short-term strategy.
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Fu, chenghui, and 傅正輝. "Volatility forecasting and option trading strategy." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/03475530824255219107.

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碩士
輔仁大學
金融與國際企業學系金融碩士班
99
Title of thesis：Volatility forecasting and option trading strategy Department of Finance and International Business(Master’s Program in Finance) Fu Jen University Student：Fu,chenghui Advisor：Tsai,liju Total pages：41 Key word：Black-Scholes option pricing model、 ARIMA model、Options volatility index of Taiwan、GARCH model、Implied volatility、Straddle The volatility in the Black-Scholes option pricing model is commonly assumed constant.However, the actual volatility of asset prices in the market often changes over time. Thus, this article tries to use the predicted values of volatility to seek the entry time of the implementation of options trading strategies and to investigate their profits. In this paper, we adopt three methods to predict the volatility. They are as follows: 1.using ARIMA model to predict the options volatility index (vix index) of Taiwan . 2.employing GARCH model to predict the volatility of the Taiwan stock index. 3. directly using implied volatility itself as the prediction of volatility. After predicting the volatility, this article investigates the performances of two trading strategies. The first strategy is buying a straddle when the changes of the predicted volatility are greater than some threshold values, such as one or two standard deviations, etc.; and clearing the position when the changes of the predicted volatility are lower than some threshold values. The second strategy is to execute the trading by utilizing the information that asset prices are often negatively correlated with their volatilities It is buying a put option when the changes of the predicted volatility are greater than some threshold values and buying a call option on the contrary.This article compares among the different combinations of the above two trading strategies with three volatility predicting model to investigate which one is the most profitable.
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Huang, Guo-lun, and 黃國綸. "Tail Risk Trading Strategy Using Volatility-of-volatility Index." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/8b2e8h.

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碩士
國立中山大學
財務管理學系研究所
106
The purpose of this paper is to use a new model-free measure to proxy for tail risk and exploit option induced order imbalance (OOIB) to predict the return of this tail risk indicator. Unlike VaR or VIX based literatures, this paper exploits the volatility of volatility as measured by the CBOE VVIX index to measure tail risk events. In this study, the option induced order imbalance (OOIB) is the dynamic hedging position from VIX option market makers. The OOIB positively and significantly predicts the return of VVIX index, and it was mainly contributed by at-the-money options. This result indicates that the order imbalance in VIX option market has the information and predictability toward market volatility of volatility and tail risk events, this paper then develops a long straddle position on VIX options to capture tail risk returns.
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Tung, Yu-Chien, and 童于倩. "TXO Trading Strategy – Application on Volatility Smile." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/57891773416807383290.

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Tung, Yu-Chien. "TXO Trading Strategy - Application on Volatility Smile." 2007. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-1607200712392200.

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劉易霖. "Intraday Option Implied Volatility Curve Trading Strategy." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/14982396536877799563.

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碩士
國立政治大學
金融學系
104
Option’s implied volatility smile curves discontinuous phenomenon exists when general investors buy or sell options, they won’t buy in every strike’s options. This paper attempts to use Taiwan Index Options (trading code: TXO) to construct a trading strategy based on the implied volatility. We use curve fitting method to capture volatility smile curve’s instant discontinuous. Although we find out that the strategy won’t make a profit, there were several times when TXO market’s implied volatility smile curves were discontinuous, and the market option price will eventually go back to the theoretical price.
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Books on the topic "Volatility Trading Strategy"

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Franke, Günter. Exchange rate volatility and international trading strategy. Brussels: European Institute for Advanced Studies in Management, 1991.

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Bhagat, Rabi S. Global Strategies and the Organization. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241490.003.0003.

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Global organizations are able to send messages to their subsidiaries and other operating units all over the world with remarkable speed with the Internet and computers. The formulation of strategies for these global organizations has to account for increases in volatility, uncertainty, complexity, and ambiguity on an ongoing basis. This chapter discusses the nature of changes that strategic management of global organizations consider as businesses shift from the OCED nations to emergent economies and adoption of market-oriented policies in all of the major trading nations in the WTO. The development of strategy in the era of globalization is guided by economic, political, cultural, and institutional forces that are vastly different from those that existed after World War II. Implementation of strategy is also considerably different than it was a few decades ago. This is discussed along with the consideration of ethical issues that are emerging on a worldwide scale.
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Binary Options Strategies For Directional And Volatility Trading. John Wiley & Sons, 2012.

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Book chapters on the topic "Volatility Trading Strategy"

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"Alternate Equity Volatility and Strategy Indexes." In Trading VIX Derivatives, 83–98. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119201274.ch7.

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Su, EnDer, Thomas W. Knowles, and Yu-Gin Fen. "Constructing Structural Equation Model Rule-Based Fuzzy System with Genetic Algorithm." In Fuzzy Systems, 132–52. IGI Global, 2017. http://dx.doi.org/10.4018/978-1-5225-1908-9.ch005.

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The present study uses the structural equation model (SEM) to analyze the correlations between various economic indices pertaining to latent variables, such as the New Taiwan Dollar (NTD) value, the United States Dollar (USD) value, and USD index. In addition, a risk factor of volatility of currency returns is considered to develop a risk-controllable fuzzy inference system. The rational and linguistic knowledge-based fuzzy rules are established based on the SEM model and then optimized using the genetic algorithm. The empirical results reveal that the fuzzy logic trading system using the SEM indeed outperforms the buy-and-hold strategy. Moreover, when considering the risk factor of currency volatility, the performance appears significantly better. Remarkably, the trading strategy is apparently affected when the USD value or the volatility of currency returns shifts into either a higher or lower state.
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"Volatility Arbitrage and Pairs Trading." In The Strategic Analysis of Financial Markets, 345–81. WORLD SCIENTIFIC, 2017. http://dx.doi.org/10.1142/9789813225107_0011.

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Conference papers on the topic "Volatility Trading Strategy"

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Liang, You, Aerambamoorthy Thavaneswaran, and Md Erfanul Hoque. "A Novel Algorithmic Trading Strategy Using Data-Driven Innovation Volatility." In 2020 IEEE Symposium Series on Computational Intelligence (SSCI). IEEE, 2020. http://dx.doi.org/10.1109/ssci47803.2020.9308360.

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Hoque, Md Erfanul, Aerambamoorthy Thavaneswaran, Alex Paseka, and Ruppa K. Thulasiram. "An Algorithmic Multiple Trading Strategy Using Data-Driven Random Weights Innovation Volatility." In 2021 IEEE 45th Annual Computers, Software, and Applications Conference (COMPSAC). IEEE, 2021. http://dx.doi.org/10.1109/compsac51774.2021.00263.

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Liang, You, Aerambamoorthy Thavaneswaran, Alexander Paseka, Zimo Zhu, and Ruppa K. Thulasiram. "A Novel Dynamic Data-Driven Algorithmic Trading Strategy Using Joint Forecasts of Volatility and Stock Price." In 2020 IEEE 44th Annual Computers, Software, and Applications Conference (COMPSAC). IEEE, 2020. http://dx.doi.org/10.1109/compsac48688.2020.00038.

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Poli, Michael, Jinkyoo Park, and Ilija Ilievski. "WATTNet: Learning to Trade FX via Hierarchical Spatio-Temporal Representation of Highly Multivariate Time Series." In Twenty-Ninth International Joint Conference on Artificial Intelligence and Seventeenth Pacific Rim International Conference on Artificial Intelligence {IJCAI-PRICAI-20}. California: International Joint Conferences on Artificial Intelligence Organization, 2020. http://dx.doi.org/10.24963/ijcai.2020/630.

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Finance is a particularly challenging application area for deep learning models due to low noise-to-signal ratio, non-stationarity, and partial observability. Non-deliverable-forwards (NDF), a derivatives contract used in foreign exchange (FX) trading, presents additional difficulty in the form of long-term planning required for an effective selection of start and end date of the contract. In this work, we focus on tackling the problem of NDF position length selection by leveraging high-dimensional sequential data consisting of spot rates, technical indicators and expert tenor patterns. To this end, we curate, analyze and release a dataset from the Depository Trust & Clearing Corporation (DTCC) NDF data that includes a comprehensive list of NDF volumes and daily spot rates for 64 FX pairs. We introduce WaveATTentionNet (WATTNet), a novel temporal convolution (TCN) model for spatio-temporal modeling of highly multivariate time series, and validate it across NDF markets with varying degrees of dissimilarity between the training and test periods in terms of volatility and general market regimes. The proposed method achieves a significant positive return on investment (ROI) in all NDF markets under analysis, outperforming recurrent and classical baselines by a wide margin. Finally, we propose two orthogonal interpretability approaches to verify noise robustness and detect the driving factors of the learned tenor selection strategy.
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