Dispersion trading on the s&p100

Detalhes bibliográficos
Autor(a) principal: Zwart, Aldert Joaquim
Data de Publicação: 2022
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/156855
Resumo: This study provides an empirical analysis back-testing a dispersion trading strategy to verify its performance. Dispersion trading is an arbitrage trading technique exploiting the difference between option prices of the index and its constituents. Price discrepancies are traced from literature to the correlation risk premium and net buying pressure of puts of the index. The strategy tends to outperform the general market. Cumulative returns of the strategy have beaten the Vanguard Total Market Index ETF, providing risk-adjusted returns in alpha and small beta indicating a strategy that is prone to systematic market risks.
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spelling Dispersion trading on the s&p100OptionsImplied volatilityImplied correlationMarket makingDispersion tradingMarket inefficiencyDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis study provides an empirical analysis back-testing a dispersion trading strategy to verify its performance. Dispersion trading is an arbitrage trading technique exploiting the difference between option prices of the index and its constituents. Price discrepancies are traced from literature to the correlation risk premium and net buying pressure of puts of the index. The strategy tends to outperform the general market. Cumulative returns of the strategy have beaten the Vanguard Total Market Index ETF, providing risk-adjusted returns in alpha and small beta indicating a strategy that is prone to systematic market risks.Rodrigues, Paulo Manuel MarquesRUNZwart, Aldert Joaquim2023-08-25T14:00:32Z2022-06-012022-05-202022-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/156855TID:203135946enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:39:09Zoai:run.unl.pt:10362/156855Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:56:28.757738Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Dispersion trading on the s&p100
title Dispersion trading on the s&p100
spellingShingle Dispersion trading on the s&p100
Zwart, Aldert Joaquim
Options
Implied volatility
Implied correlation
Market making
Dispersion trading
Market inefficiency
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Dispersion trading on the s&p100
title_full Dispersion trading on the s&p100
title_fullStr Dispersion trading on the s&p100
title_full_unstemmed Dispersion trading on the s&p100
title_sort Dispersion trading on the s&p100
author Zwart, Aldert Joaquim
author_facet Zwart, Aldert Joaquim
author_role author
dc.contributor.none.fl_str_mv Rodrigues, Paulo Manuel Marques
RUN
dc.contributor.author.fl_str_mv Zwart, Aldert Joaquim
dc.subject.por.fl_str_mv Options
Implied volatility
Implied correlation
Market making
Dispersion trading
Market inefficiency
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Options
Implied volatility
Implied correlation
Market making
Dispersion trading
Market inefficiency
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This study provides an empirical analysis back-testing a dispersion trading strategy to verify its performance. Dispersion trading is an arbitrage trading technique exploiting the difference between option prices of the index and its constituents. Price discrepancies are traced from literature to the correlation risk premium and net buying pressure of puts of the index. The strategy tends to outperform the general market. Cumulative returns of the strategy have beaten the Vanguard Total Market Index ETF, providing risk-adjusted returns in alpha and small beta indicating a strategy that is prone to systematic market risks.
publishDate 2022
dc.date.none.fl_str_mv 2022-06-01
2022-05-20
2022-06-01T00:00:00Z
2023-08-25T14:00:32Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/156855
TID:203135946
url http://hdl.handle.net/10362/156855
identifier_str_mv TID:203135946
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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