An Anatomy of Characteristics in Dynamic Trading

2021 ◽  
Author(s):  
Tao Huang ◽  
Matthew I. Spiegel ◽  
Hong Zhang
Keyword(s):  
Dynamic Trading

scholarly journals Dynamic Trading Strategies and Portfolio Choice

2004 ◽  
Author(s):  
Ravi Bansal ◽  
Campbell R. Harvey ◽  
Magnus Dahlquist
Keyword(s):  
Portfolio Choice ◽  
Trading Strategies ◽  
Dynamic Trading

scholarly journals Testing derivatives pricing models under higher-order moment swaps

2019 ◽  
Vol 36 (2) ◽  
pp. 154-167
Author(s):  
Ako Doffou
Keyword(s):  
Parametric Models ◽  
Order Moment ◽  
Third Order ◽  
Derivatives Pricing ◽  
Content Type ◽  
Variance Swap ◽  
Pricing Error ◽  
Dynamic Trading ◽  
Empirical Tests ◽  
Third Moment

Purpose This paper aims to test three parametric models in pricing and hedging higher-order moment swaps. Using vanilla option prices from the volatility surface of the Euro Stoxx 50 Index, the paper shows that the pricing accuracy of these models is very satisfactory under four different pricing error functions. The result is that taking a position in a third moment swap considerably improves the performance of the standard hedge of a variance swap based on a static position in the log-contract and a dynamic trading strategy. The position in the third moment swap is taken by running a Monte Carlo simulation. Design/methodology/approach This paper undertook empirical tests of three parametric models. The aim of the paper is twofold: assess the pricing accuracy of these models and show how the classical hedge of the variance swap in terms of a position in a log-contract and a dynamic trading strategy can be significantly enhanced by using third-order moment swaps. The pricing accuracy was measured under four different pricing error functions. A Monte Carlo simulation was run to take a position in the third moment swap. Findings The results of the paper are twofold: the pricing accuracy of the Heston (1993) model and that of two Levy models with stochastic time and stochastic volatility are satisfactory; taking a position in third-order moment swaps can significantly improve the performance of the standard hedge of a variance swap. Research limitations/implications The limitation is that these empirical tests are conducted on existing three parametric models. Maybe more critical insights could have been revealed had these tests been conducted in a brand new derivatives pricing model. Originality/value This work is 100 per cent original, and it undertook empirical tests of the pricing and hedging accuracy of existing three parametric models.

Optimal Dynamic Trading with Leverage Constraints

1992 ◽  
Vol 27 (2) ◽  
pp. 151 ◽  
Author(s):  
Sanford J. Grossman ◽  
Jean-Luc Vila
Keyword(s):  
Dynamic Trading ◽  
Optimal Dynamic

The premium of dynamic trading in a discrete-time setting

2016 ◽  
Vol 16 (8) ◽  
pp. 1237-1257 ◽  
Author(s):  
Haixiang Yao ◽  
ZhongFei Li ◽  
Xingyi Li
Keyword(s):  
Discrete Time ◽  
Dynamic Trading

Dynamic trading policies with price impact

2005 ◽  
Vol 29 (5) ◽  
pp. 891-930 ◽  
Author(s):  
Hua He ◽  
Harry Mamaysky
Keyword(s):  
Price Impact ◽  
Dynamic Trading
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