A Framework of Option Buy-Side Strategy with Simple Index Futures Trading Based on Kelly Criterion

机译：基于凯利准则的简单指数期货交易期权买方策略框架

获取原文

页面导航

摘要
著录项
引文网络
相似文献
相关主题

摘要

We propose a framework of option trading strategy for the simple index futures trading. According to Kelly criterion, we find the most profitable option strike price for buying side and calculate the optimal lots of option for position size. We hope this skill can be applied to any futures trading strategies by using option buy-side.

机译：我们为简单的指数期货交易提出了期权交易策略的框架。根据凯利（Kelly）准则，我们为买方找到了最有利可图的期权行使价，并计算了头寸规模的最佳期权。我们希望可以通过使用期权买方将这一技能应用于任何期货交易策略。

著录项

来源
《International Conference on Behavioral, Economic, and Socio-Cultural Computing》|2018年|210-212|共3页
会议地点 Kaohsiung(CN)
作者
Mu-En Wu; Pang-Jen Hung;
展开▼
作者单位

National Taipei University of Technology Department of Information and Finance Management Taipei Taiwan;

展开▼
会议组织
原文格式 PDF
正文语种
中图分类
关键词
Indexes; Economics; Finance; Games; Resource management; Optimization;

机译：索引；经济学;金融;游戏；资源管理;优化;

相似文献

外文文献
中文文献
专利

1. When trading options is not the only option: The effects of single-stock futures trading on options market quality [J] . Jiang George J., Shimizu Yoshiki, Strong Cuyler The journal of futures markets . 2020,第9期

机译：交易选项不是唯一的选择：单股期货交易对选项市场质量的影响
2. GENERALIZED FRAMEWORK FOR APPLYING THE KELLY CRITERION TO STOCK MARKETS [J] . TIM BYRNES, TRISTAN BARNETT International journal of theoretical and applied finance . 2018,第5期

机译：将凯利标准应用于股票市场的广义框架
3. A former Chicago-based floor broker has been ordered to pay a $600,000 fine for his role in a scheme to avoid margin calls on NYMEX natural gas and crude oil options contracts over a nearly two-year period, the COMMODITY FUTURES TRADING COMMISSION said Wednesday [J] . Platts Inside FERC's Gas Market Report . 2012,第0525期

机译：纽约商品期货交易委员会周三表示，前芝加哥地板经纪人因在避免两年内NYMEX天然气和原油期权合约追加保证金计划中的角色而被责令罚款600,000美元。
4. A Framework of Option Buy-Side Strategy with Simple Index Futures Trading Based on Kelly Criterion [C] . Mu-En Wu, Pang-Jen Hung International Conference on Behavioral, Economic and Socio-Cultural Computing . 2018

机译：基于Kelly标准的简单指数期货交易策略框架
5. A Strategy of Maximizing Profit in the Long Run Using the Concept of Kelly's Criterion [D] . Xu, Binyi. 2017

机译：长期利用凯利标准的概念最大化利润的战略
6. An evolutionarily stable strategy and the critical point of hog futures trading entities based on replicator dynamic theory: 2006–2015 data for China’s 22 provinces [O] . Jinbo Pang, Lingfei Deng, Gangyi Wang -1

机译：基于复制者动态理论的进化稳定策略和生猪期货交易实体的临界点：中国22个省的2006–2015年数据
7. Are options on soybean futures profitable? : a test of the straddle ratio trading strategy [O] . Park Hun Young 1951-, Meier David, Stortzum Kevin 1986

机译：大豆期货的期权是否有利可图？：对跨骑比率交易策略的测试

A Framework of Option Buy-Side Strategy with Simple Index Futures Trading Based on Kelly Criterion

摘要

著录项

引文网络

相似文献

相关主题

期刊订阅