A big data Bayesian approach to earnings profitability in the S&P 500
The impact of volatility crush can be devastating to an option buyer and results in a substantial capital loss, even with a directionally correct strategy. As a result, most volatility plays are for option sellers, but the profit they can achieve is limited and the sellers carry unlimited risk. This...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Journal |
| Language: | en |
| Published: |
Emerald Publishing Limited
2018
|
| Subjects: | |
| Online Access: | http://ur.aeu.edu.my/542/1/A%20big%20data%20Bayesian%20approach%20to.pdf http://ur.aeu.edu.my/542/ https://doi.org/10.1108/PRR-04-2017-0023 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1831336469218721792 |
|---|---|
| author | Tan, Teik Kheong Merouane, Lakehal-Ayat |
| author_facet | Tan, Teik Kheong Merouane, Lakehal-Ayat |
| author_sort | Tan, Teik Kheong |
| building | AEU Library |
| collection | Institutional Repository |
| content_provider | Asia e University |
| content_source | AEU University Repository |
| continent | Asia |
| country | Malaysia |
| description | The impact of volatility crush can be devastating to an option buyer and results in a substantial capital loss, even with a directionally correct strategy. As a result, most volatility plays are for option sellers, but the profit they can achieve is limited and the sellers carry unlimited risk. This paper aims to demonstrate the dynamics of implied volatility (IV) as being influenced by effects of persistence, leverage, market sentiment and liquidity. From the exploratory factor analysis (EFA), they extract four constructs and the results from the confirmatory factor analysis (CFA) indicated a goodmodel fit for the constructs. |
| format | Journal |
| id | my-aeu-eprints.542 |
| institution | Asia e University |
| language | en |
| publishDate | 2018 |
| publisher | Emerald Publishing Limited |
| record_format | eprints |
| spelling | my-aeu-eprints.5422019-06-29T00:40:00Z http://ur.aeu.edu.my/542/ A big data Bayesian approach to earnings profitability in the S&P 500 Tan, Teik Kheong Merouane, Lakehal-Ayat H Social Sciences (General) HD Industries. Land use. Labor The impact of volatility crush can be devastating to an option buyer and results in a substantial capital loss, even with a directionally correct strategy. As a result, most volatility plays are for option sellers, but the profit they can achieve is limited and the sellers carry unlimited risk. This paper aims to demonstrate the dynamics of implied volatility (IV) as being influenced by effects of persistence, leverage, market sentiment and liquidity. From the exploratory factor analysis (EFA), they extract four constructs and the results from the confirmatory factor analysis (CFA) indicated a goodmodel fit for the constructs. Emerald Publishing Limited 2018 Journal PeerReviewed text en http://ur.aeu.edu.my/542/1/A%20big%20data%20Bayesian%20approach%20to.pdf Tan, Teik Kheong and Merouane, Lakehal-Ayat (2018) A big data Bayesian approach to earnings profitability in the S&P 500. PSU Research Review, 2 (1). pp. 35-58. ISSN 2399-1747 https://doi.org/10.1108/PRR-04-2017-0023 |
| spellingShingle | H Social Sciences (General) HD Industries. Land use. Labor Tan, Teik Kheong Merouane, Lakehal-Ayat A big data Bayesian approach to earnings profitability in the S&P 500 |
| title | A big data Bayesian approach to earnings profitability in the S&P 500 |
| title_full | A big data Bayesian approach to earnings profitability in the S&P 500 |
| title_fullStr | A big data Bayesian approach to earnings profitability in the S&P 500 |
| title_full_unstemmed | A big data Bayesian approach to earnings profitability in the S&P 500 |
| title_short | A big data Bayesian approach to earnings profitability in the S&P 500 |
| title_sort | big data bayesian approach to earnings profitability in the s&p 500 |
| topic | H Social Sciences (General) HD Industries. Land use. Labor |
| url | http://ur.aeu.edu.my/542/1/A%20big%20data%20Bayesian%20approach%20to.pdf http://ur.aeu.edu.my/542/ https://doi.org/10.1108/PRR-04-2017-0023 |
| url_provider | http://ur.aeu.edu.my/ |