ETF Central » risk measures http://etf-central.com Fast-paced market news, analysis, and discussion - Michael J. Bommarito II Mon, 14 Feb 2011 19:25:43 +0000 en hourly 1 http://wordpress.org/?v=3.3.1 Reading List, Week of Jan. 10, 2010 http://etf-central.com/2011/01/10/reading-list-week-of-jan-10-2010/ http://etf-central.com/2011/01/10/reading-list-week-of-jan-10-2010/#comments Mon, 10 Jan 2011 19:40:20 +0000 Michael Bommarito http://etf-central.com/?p=460 Instead of posting papers separately, I’ve decided to transition to a weekly reading list format.  I’ll update this post over the course of the week, but here’s the initial list:

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]]> http://etf-central.com/2011/01/10/reading-list-week-of-jan-10-2010/feed/ 0 Paper freely available from Quantitative Finance for RiskMinds 2010 http://etf-central.com/2010/12/09/paper-freely-available-from-quantitative-finance-for-riskminds-2010/ http://etf-central.com/2010/12/09/paper-freely-available-from-quantitative-finance-for-riskminds-2010/#comments Thu, 09 Dec 2010 15:05:10 +0000 Michael Bommarito http://etf-central.com/?p=429 I received an email from Quantitative Finance informing me that my paper with A. Duran,
A Profitable Trading and Risk Management Strategy Despite Transaction Cost, will be freely available online in a “virtual issue” of the journal on risk. This issue is designed to coincide with the RiskMinds 2010 conference currently taking place. Please access the published version of my paper from InformaWorld here or the entire Risk issue here through the end of the month.

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]]> http://etf-central.com/2010/12/09/paper-freely-available-from-quantitative-finance-for-riskminds-2010/feed/ 0 C. San-Lin, W.-C. Tsai, Y.-H. Wang, P.-S. P. Weng. The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 Index. http://etf-central.com/2010/11/21/c-san-lin-w-c-tsai-y-h-wang-p-s-p-weng-the-information-content-of-the-sp-500-index-and-vix-options-on-the-dynamics-of-the-sp-500-index/ http://etf-central.com/2010/11/21/c-san-lin-w-c-tsai-y-h-wang-p-s-p-weng-the-information-content-of-the-sp-500-index-and-vix-options-on-the-dynamics-of-the-sp-500-index/#comments Mon, 22 Nov 2010 02:52:08 +0000 Michael Bommarito http://etf-central.com/?p=421

Abstract: Given that both S&P 500 index and VIX options essentially contain information on the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility and density in the S&P 500 index. Our results reveal that the information content implied from these two option markets is not identical. In addition to the information extracted from the S&P 500 index options, all of the predictions for the S&P 500 index are significantly improved by the information recovered from the VIX options. Our findings are robust to various measures of realized volatility and methods of density evaluation.

C. San-Lin, W.-C. Tsai, Y.-H. Wang, P.-S. P. Weng. The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 Index. http://ssrn.com/abstract=1711036.

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