Trading co-movements information between credit default swaps, equities and equity options
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/133494 |
Resumo: | The equity, equity derivatives and the credit derivatives markets are linked through some fundamental relationships and their respective prices co-move by reacting to company specific news. Whereas the markets have different pricing assumptions and methodologies, we will prove that they co-move in systematic patterns and we will try to benefit from the latter movement relationships with a trading strategy. Our goal in this research is to estimate if the assets’ relationship has been broken, allowing us to implement an investment strategy based on statistic signals. We believe that the co-movements can be irrational and that different markets can react differently to the same information set, which competes with the efficient market principle. |
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Trading co-movements information between credit default swaps, equities and equity optionsCredit default swapsEquity optionsImplied volatilitySystematic tradingDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe equity, equity derivatives and the credit derivatives markets are linked through some fundamental relationships and their respective prices co-move by reacting to company specific news. Whereas the markets have different pricing assumptions and methodologies, we will prove that they co-move in systematic patterns and we will try to benefit from the latter movement relationships with a trading strategy. Our goal in this research is to estimate if the assets’ relationship has been broken, allowing us to implement an investment strategy based on statistic signals. We believe that the co-movements can be irrational and that different markets can react differently to the same information set, which competes with the efficient market principle.Ribeiro, Gonçalo SommerRUNNicodeau, Pierre2022-02-24T16:24:06Z2021-09-172021-09-072021-09-17T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/133494TID:202837513enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:12:07Zoai:run.unl.pt:10362/133494Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:47:49.166400Repositório 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 |
Trading co-movements information between credit default swaps, equities and equity options |
title |
Trading co-movements information between credit default swaps, equities and equity options |
spellingShingle |
Trading co-movements information between credit default swaps, equities and equity options Nicodeau, Pierre Credit default swaps Equity options Implied volatility Systematic trading Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Trading co-movements information between credit default swaps, equities and equity options |
title_full |
Trading co-movements information between credit default swaps, equities and equity options |
title_fullStr |
Trading co-movements information between credit default swaps, equities and equity options |
title_full_unstemmed |
Trading co-movements information between credit default swaps, equities and equity options |
title_sort |
Trading co-movements information between credit default swaps, equities and equity options |
author |
Nicodeau, Pierre |
author_facet |
Nicodeau, Pierre |
author_role |
author |
dc.contributor.none.fl_str_mv |
Ribeiro, Gonçalo Sommer RUN |
dc.contributor.author.fl_str_mv |
Nicodeau, Pierre |
dc.subject.por.fl_str_mv |
Credit default swaps Equity options Implied volatility Systematic trading Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Credit default swaps Equity options Implied volatility Systematic trading Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
The equity, equity derivatives and the credit derivatives markets are linked through some fundamental relationships and their respective prices co-move by reacting to company specific news. Whereas the markets have different pricing assumptions and methodologies, we will prove that they co-move in systematic patterns and we will try to benefit from the latter movement relationships with a trading strategy. Our goal in this research is to estimate if the assets’ relationship has been broken, allowing us to implement an investment strategy based on statistic signals. We believe that the co-movements can be irrational and that different markets can react differently to the same information set, which competes with the efficient market principle. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-09-17 2021-09-07 2021-09-17T00:00:00Z 2022-02-24T16:24:06Z |
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/10362/133494 TID:202837513 |
url |
http://hdl.handle.net/10362/133494 |
identifier_str_mv |
TID:202837513 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/embargoedAccess |
eu_rights_str_mv |
embargoedAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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