文章基本信息

标题：Investment Portfolio Strategies Based On Options Market Activity
本地全文：下载
作者：Rafiqul Bhuyan ; Steven Freund ; Yuxing Yan 等
期刊名称：Journal of Business & Economics Research
印刷版ISSN：1542-4448
电子版ISSN：2157-8893
出版年度：2011
卷号：7
期号：9
语种：English
出版社：The Clute Institute for Academic Research
摘要：We propose a multiple regression model that incorporates options market activity to forecast future stock prices. To capture the information content from the options market, we use a predictor based on the activity of call and put options as measured by relative open interest across available strike prices. We use a sample of stocks with actively traded options on the Chicago Board Options Exchange to test the model. Investment strategies that use these forecasts are shown to be superior to more simple strategies which ignore options market activity.
关键词：Options;Open Interest;Trading Strategies