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Abstract: this paper we concentrate on the latter by analyzing the profitability of a pure volatility trading strategy which is delta-neutral and independent of an option pricing model, for the German stock index DAX. Several very different methods ranging from linear and non-linear, real-valued models to symbolic models of volatility changes (Update)
Context of citations to this paper: More
.... (modelling the generating process of a financial time series, or process) is a popular application of NNs [1, 3, 18, 20, 23, 24, 28, 34, 39, 40, 43, 44, 47, 54]. However, in a number of studies misleading claims are made (or inferred) with regards to the actually...
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BibTeX entry: (Update)
C. Schittenkopf, P. Tino, and G. Dorffner. The profitability of trading volatility using real-valued and symbolic models. In IEEE/IAFE/INFORMS http://citeseer.ist.psu.edu/schittenkopf00profitability.html More
@misc{ schittenkopf-profitability,
author = "C. Schittenkopf and P. Tino and G. Dorffner",
title = "The profitability of trading volatility using real-valued and symbolic
models",
text = "C. Schittenkopf, P. Tino, and G. Dorffner. The profitability of trading
volatility using real-valued and symbolic models. In IEEE/IAFE/INFORMS",
url = "citeseer.ist.psu.edu/schittenkopf00profitability.html" }
Citations (may not include all citations):7 Market volatility prediction and the efficiency of the S&P 1.. (context) - Harvey - 1992
7 Forecasting volatility and option prices of the S&P 500 inde.. (context) - Noh, Engle et al. - 1994
6 Delta-neutral volatility trading with intraday prices: an ap.. (context) - Schmitt - 1996
The graph only includes citing articles where the year of publication is known.
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