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Deterministic modelling of implied volatility in cryptocurrency options with underlying multiple resolution momentum indicator and non-linear machine learning regression algorithm
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作者 F.Leung M.Law S.K.Djeng 《Financial Innovation》 2024年第1期499-523,共25页
Modeling implied volatility(IV)is important for option pricing,hedging,and risk management.Previous studies of deterministic implied volatility functions(DIVFs)propose two parameters,moneyness and time to maturity,to ... Modeling implied volatility(IV)is important for option pricing,hedging,and risk management.Previous studies of deterministic implied volatility functions(DIVFs)propose two parameters,moneyness and time to maturity,to estimate implied volatility.Recent DIVF models have included factors such as a moving average ratio and relative bid-ask spread but fail to enhance modeling accuracy.The current study offers a generalized DIVF model by including a momentum indicator for the underlying asset using a relative strength index(RSI)covering multiple time resolutions as a factor,as momentum is often used by investors and speculators in their trading decisions,and in contrast to volatility,RSI can distinguish between bull and bear markets.To the best of our knowledge,prior studies have not included RSI as a predictive factor in modeling IV.Instead of using a simple linear regression as in previous studies,we use a machine learning regression algorithm,namely random forest,to model a nonlinear IV.Previous studies apply DVIF modeling to options on traditional financial assets,such as stock and foreign exchange markets.Here,we study options on the largest cryptocurrency,Bitcoin,which poses greater modeling challenges due to its extreme volatility and the fact that it is not as well studied as traditional financial assets.Recent Bitcoin option chain data were collected from a leading cryptocurrency option exchange over a four-month period for model development and validation.Our dataset includes short-maturity options with expiry in less than six days,as well as a full range of moneyness,both of which are often excluded in existing studies as prices for options with these characteristics are often highly volatile and pose challenges to model building.Our in-sample and out-sample results indicate that including our proposed momentum indicator significantly enhances the model’s accuracy in pricing options.The nonlinear machine learning random forest algorithm also performed better than a simple linear regression.Compared to prevailing option pricing models that employ stochastic variables,our DIVF model does not include stochastic factors but exhibits reasonably good performance.It is also easy to compute due to the availability of real-time RSIs.Our findings indicate our enhanced DIVF model offers significant improvements and may be an excellent alternative to existing option pricing models that are primarily stochastic in nature. 展开更多
关键词 implied volatility Cryptocurrency options Momentum indicator Relative strength index Machine learning Random Forest regression Black-Scholes-Merton equation
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Recovering implied risk-neutral probability density function using SVR
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作者 胡小平 崔海蓉 +1 位作者 朱丽华 王新燕 《Journal of Southeast University(English Edition)》 EI CAS 2010年第3期489-493,共5页
Using support vector regression (SVR), a novel non-parametric method for recovering implied risk-neutral probability density function (IRNPDF) is investigated by solving linear operator equations. First, the SVR p... Using support vector regression (SVR), a novel non-parametric method for recovering implied risk-neutral probability density function (IRNPDF) is investigated by solving linear operator equations. First, the SVR principle for function approximation is introduced, and an SVR method for solving linear operator equations with knowing some values of the right-hand function and without knowing its form is depicted. Then, the principle for solving the IRNPDF based on SVR and the method for constructing cross-kernel functions are proposed. Finally, an empirical example is given to verify the validity of the method. The results show that the proposed method can overcome the shortcomings of the traditional parametric methods, which have strict restrictions on the option exercise price; meanwhile, it requires less data than other non-parametric methods, and it is a promising method for the recover of IRNPDF. 展开更多
关键词 support vector regression option prices implied risk-neutral probability linear operator equation non-parametric method
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Extracting Information on Implied Volatilities and Discrete Dividends From American Option Prices
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作者 Martina Nardon Paolo Pianca 《Journal of Modern Accounting and Auditing》 2013年第1期112-129,共18页
This paper deals with options on assets, such as stocks or indexes, which pay cash dividends. Pricing methods which consider discrete dividends are usually computationally expensive and become infeasible when one cons... This paper deals with options on assets, such as stocks or indexes, which pay cash dividends. Pricing methods which consider discrete dividends are usually computationally expensive and become infeasible when one considers multiple dividends paid during the option lifetime. This is the case of long-term options and options on indexes. The first purpose of this paper is to assess efficient and accurate numerical procedures which yield consistent prices for both European and American options when the underlying asset pays discrete dividends. The authors then analyze some methodologies to extract information on implied volatilities and dividends from quoted option prices. Implied dividends can also be computed using a modified version of the well-known put-call parity relationship. This technique is straightforward, nevertheless, its use is limited to European options, and when dealing with equities, most traded options are of American type. As an alternative, the numerical inversion of pricing methods, such as efficient interpolated binomial method, can be used. This paper applies different procedures to obtain implied volatilities and dividends of listed stocks of the Italian derivatives market (IDEM). 展开更多
关键词 options on stocks discrete dividends lattice methods implied volatilities implied dividends
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Recover Implied Volatility in Short-term Interest Rate Model
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作者 ZHA O Fang-fang XU Zuo-liang 《Chinese Quarterly Journal of Mathematics》 2017年第4期395-406,共12页
This paper concerns an inverse problem of recovering implied volatility in short-term interest rate model from the market prices of zero-coupon bonds. Based on lineariza-tion, an analytic solution, which is given as a... This paper concerns an inverse problem of recovering implied volatility in short-term interest rate model from the market prices of zero-coupon bonds. Based on lineariza-tion, an analytic solution, which is given as a power series, is derived for the direct problem.By neglecting high order terms in the power series, an integral equation about the pertur-bation of volatility is formulated and the Tikhonov regularization method is applied to solvethe integral equation. Finally numerical experiments are given and the results show that the method is effective. 展开更多
关键词 implied VOLATILITY INVERSE PROBLEM LINEARIZATION
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Implied volatility estimation of bitcoin options and the stylized facts of option pricing
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作者 Noshaba Zulfiqar Saqib Gulzar 《Financial Innovation》 2021年第1期1508-1537,共30页
The recently developed Bitcoin futures and options contracts in cryptocurrency derivatives exchanges mark the beginning of a new era in Bitcoin price risk hedging.The need for these tools dates back to the market cras... The recently developed Bitcoin futures and options contracts in cryptocurrency derivatives exchanges mark the beginning of a new era in Bitcoin price risk hedging.The need for these tools dates back to the market crash of 1987,when investors needed better ways to protect their portfolios through option insurance.These tools provide greater flexibility to trade and hedge volatile swings in Bitcoin prices effectively.The violation of constant volatility and the log-normality assumption of the Black–Scholes option pricing model led to the discovery of the volatility smile,smirk,or skew in options markets.These stylized facts;that is,the volatility smile and implied volatilities implied by the option prices,are well documented in the option literature for almost all financial markets.These are expected to be true for Bitcoin options as well.The data sets for the study are based on short-dated Bitcoin options(14-day maturity)of two time periods traded on Deribit Bitcoin Futures and Options Exchange,a Netherlandsbased cryptocurrency derivative exchange.The estimated results are compared with benchmark Black–Scholes implied volatility values for accuracy and efficiency analysis.This study has two aims:(1)to provide insights into the volatility smile in Bitcoin options and(2)to estimate the implied volatility of Bitcoin options through numerical approximation techniques,specifically the Newton Raphson and Bisection methods.The experimental results show that Bitcoin options belong to the commodity class of assets based on the presence of a volatility forward skew in Bitcoin option data.Moreover,the Newton Raphson and Bisection methods are effective in estimating the implied volatility of Bitcoin options.However,the Newton Raphson forecasting technique converges faster than does the Bisection method. 展开更多
关键词 Bitcoin options Deribit Bitcoin smile implied volatility estimation Numerical estimation
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Cultural Input in English Vocabulary Teaching
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作者 XUE Xiangying 《Sino-US English Teaching》 2024年第3期104-107,共4页
The close relationship between the English words and culture is analyzed in this article.Only by understanding the hidden cultural meanings in the English words,can college students truly have a good command of them a... The close relationship between the English words and culture is analyzed in this article.Only by understanding the hidden cultural meanings in the English words,can college students truly have a good command of them and can their communicative ability be improved. 展开更多
关键词 cultural background implied meaning communicative competence
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Uncertainty about interest rates and crude oil prices
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作者 Mahmoud Qadan Gil Cohen 《Financial Innovation》 2024年第1期3989-4002,共14页
The yield on the 10-year U.S.Treasury Note is among the most cited interest rates by investors,policymakers,and financial institutions.We show that the 10-year Treasury yield’s forward-looking volatility,a VIX-style ... The yield on the 10-year U.S.Treasury Note is among the most cited interest rates by investors,policymakers,and financial institutions.We show that the 10-year Treasury yield’s forward-looking volatility,a VIX-style measure that is a proxy for uncertainty about future interest rates,is a useful state variable capable of predicting the returns and volatility of crude oil prices over the near term.Using monthly data from 2003 to 2020,we document that higher implied volatility in the 10-year U.S.Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in those prices.Our results are robust to different subsamples and various empirical designs. 展开更多
关键词 Bond VIX Forecasting Treasury futures OPTIONS implied volatility Oil price
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Propagation and Dispersion Characteristics of Scholte Wave in VTI Media with the Presence of Irregular Seabed
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作者 Xiaobo Liu Yun Wang +2 位作者 Jianlei Zhang Haifeng Chen Hua Zhang 《Journal of Earth Science》 SCIE CAS CSCD 2024年第2期722-725,共4页
INTRODUCTION Surface waves propagating along the seafloor are general ly called Scholte waves,and were first discovered and studied in the early 1950s(Kugler et al.,2005;Buchen and Ben-Hador,1996).Scholte waves exhibi... INTRODUCTION Surface waves propagating along the seafloor are general ly called Scholte waves,and were first discovered and studied in the early 1950s(Kugler et al.,2005;Buchen and Ben-Hador,1996).Scholte waves exhibit a dispersion phenomenon,which implies that their velocity varies with frequency.Low-frequency Scholte waves can propagate over long distances on the seabed with little attenuation(Bohlen et al.,2004).The particle mo tion of Scholte waves in a solid medium changes from a retro grade to a prograde ellipse(Klein et al.,2005;McMechan and Yedlin,1981). 展开更多
关键词 SEABED DISPERSION implies
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Diagnosing Thermalization Dynamics of Non-Hermitian Quantum Systems via GKSL Master Equations
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作者 毛奕廷 钟佩耕 +2 位作者 林海青 王孝群 胡时杰 《Chinese Physics Letters》 SCIE EI CAS CSCD 2024年第7期1-11,共11页
The application of the eigenstate thermalization hypothesis to non-Hermitian quantum systems has become one of the most important topics in dissipative quantum chaos, recently giving rise to intense debates. The proce... The application of the eigenstate thermalization hypothesis to non-Hermitian quantum systems has become one of the most important topics in dissipative quantum chaos, recently giving rise to intense debates. The process of thermalization is intricate, involving many time-evolution trajectories in the reduced Hilbert space of the system. By considering two different expansion forms of the density matrices adopted in the biorthogonal and right-state time evolutions, we derive two versions of the Gorini–Kossakowski–Sudarshan–Lindblad(GKSL)master equations describing the non-Hermitian systems coupled to a bosonic heat bath in thermal equilibrium. By solving the equations, we identify a sufficient condition for thermalization under both time evolutions, resulting in Boltzmann biorthogonal and right-eigenstate statistics, respectively. This finding implies that the recently proposed biorthogonal random matrix theory needs an appropriate revision. Moreover, we exemplify the precise dynamics of thermalization and thermodynamic properties with test models. 展开更多
关键词 QUANTUM implies PRECISE
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Acta Oceanologica Sinica
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《Acta Oceanologica Sinica》 CSCD 2024年第12期F0003-F0003,共1页
1 Copyright Information For Authors Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that i... 1 Copyright Information For Authors Submission of a manuscript implies:that the work described has not been published before(except in the form of an abstract or as part of a published lecture,review,or thesis);that it is not under consideration for publication elsewhere;that its publication has been approved by all co-authors,if any,as well astacitly or explicitly-by the responsible authorities at the institution where the work was carried out. 展开更多
关键词 implies authorities BEFORE
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Interactive effects of microplastics and typical pollutants on the soilplant system:a mini-review
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作者 Shahid Iqbal Jianchu Xu +4 位作者 Heng Gui Dengpan Bu Sulaiman Almwarai Alharbi Sehroon Khan Sadia Nadir 《Circular Agricultural Systems》 2024年第1期51-56,共6页
Although research on microplastics(MPs)interactions with other soil pollutants is increasingly becoming available,most studies do not consider risks to soil fertility or plant growth.This review aims:1)to summarize th... Although research on microplastics(MPs)interactions with other soil pollutants is increasingly becoming available,most studies do not consider risks to soil fertility or plant growth.This review aims:1)to summarize the results of current studies on interactions between MPs,heavy metals,and organic pollutants;and 2)subsequently evaluate risks to the soil-plant nexus.Available-literature shows that polypropylene,polyethylene and polylactic acid increase cadmium(Cd)bioavailability and subsequently reduce root growth.Such effects are not evident in sandy or clay soils due to the formation of CdCO3 and iron-oxide by altered bacterial communities that stabilize Cd contamination.Chronic instead of short-term exposure to polystyrene in copper(Cu)-polluted soils decreases crop yield.With coexistence of MPs and lead(Pb)in soil,the uptake of Pb in crops increases,causing altered malondialdehyde content and superoxide dismutase and guaiacol peroxidase activities.Moreover,co-toxicity of polystyrene or polytetrafluoroethylene with arsenic(As)decreases root biomass,photosynthesis rate and the chlorophyll-a content.In alkaline soil,polyvinyl-chloride could decrease the bioavailability of MeHg due to changes in the abundance of Proteobacteria,and Firmicutes.We also found strong interactions between MPs and organic pollutants.Polystyrene decreases negative impacts of sulfamethazine on bacterial diversity,and structure in soil.Polyethylene,polyvinyl-chloride and polystyrene have a strong adsorption capacity for 17β-estradiol.This implies that 17β-estradiol toxicity can be reduced by these MPs.At low concentrations,polyethylene,polypropylene,and polystyrene have low affinity to diazepam.In conclusion,serious ecological risks are associated with MPs and other pollutants'interactions to soil-plant system. 展开更多
关键词 POLYSTYRENE implies SYSTEM
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On Grice's Conversational Implicature Theory
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作者 冯亚娜 《海外英语》 2013年第2X期229-230,共2页
Conversational Implicature Theory is one important theory of pragmatics. It focuses on the implied meaning of the speakers and plays an important role in speech communication.
关键词 CONVERSATIONAL IMPLICATURE THEORY implied MEANING
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Decompesition of Kernel and Maximal Generalized Bochner-Riesz Means 被引量:1
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作者 陆善镇 《Chinese Quarterly Journal of Mathematics》 CSCD 1989年第1期23+16-22,共8页
设l∈N,δ=k/p-k+1/2,以及<p<1.本文的主要结果是建立广义BochnerRiesz平均的核的某种分解: ((1-|ξ|~l)~σ+)^(x)=sum from f=1 to J(k,l,p) b_f((1-|ξ|~2)ь+ζ)^(x)+T(|x|),其中T满足 T^(n+1)(s)≤cmin{(1+s)_(k-n-2),(1+s)^(... 设l∈N,δ=k/p-k+1/2,以及<p<1.本文的主要结果是建立广义BochnerRiesz平均的核的某种分解: ((1-|ξ|~l)~σ+)^(x)=sum from f=1 to J(k,l,p) b_f((1-|ξ|~2)ь+ζ)^(x)+T(|x|),其中T满足 T^(n+1)(s)≤cmin{(1+s)_(k-n-2),(1+s)^(-k,p)},0<s<∞以及n=[K(1/p-1)]·作为上述分解的一个直接结果,我们得到:临界阶广义Bochner-Riesz平均在H^p(R^k)上的a.e.收敛性。 展开更多
关键词 RIESZ satisfying MAXIMAL 数学季刊 proof ARGUMENT KERNEL implies INEQUALITY uniquely
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Synthesis of 1,2,3-benzotriazin-4-one derivatives containing spirocyclic indoline-2-one moieties and their nematicidal evaluation 被引量:3
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作者 Gao-Lei Wang Xi Chen +3 位作者 Ya-Ning Chang Dan Du Zhong Li Xiao-Yong Xu 《Chinese Chemical Letters》 SCIE CAS CSCD 2015年第12期1502-1506,共5页
To discover new chemotypes of nematicides with proper toxicological profiles, a series of novel 1,2,3-benzotriazin-4-one derivatives were synthesized and further bioevaluated. The bioassay results showed that most of ... To discover new chemotypes of nematicides with proper toxicological profiles, a series of novel 1,2,3-benzotriazin-4-one derivatives were synthesized and further bioevaluated. The bioassay results showed that most of the synthesized compounds were endowed with moderate to good control efficacy against Meloidogyne incognita at 10.0 mg/L in vivo. Among them, compounds 6k and 6p displayed 100%inhibitory activities at this concentration, which implied that they could be used as lead compounds for promising nematicides. 展开更多
关键词 Meloidogyne incognita displayed endowed moderate implied potent crops removed afford
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Investigating the mechanisms of glyphosate resistance in goosegrass(Eleusine indica) population from South China 被引量:3
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作者 ZHANG Chun FENG Li +3 位作者 HE Ting-ting YANG Cai-hong CHEN Guo-qi TIAN Xing-shan 《Journal of Integrative Agriculture》 SCIE CAS CSCD 2015年第5期909-918,共10页
Glyphosate has been used worldwide for nearly 40 years,and 30 types of resistant weeds have been reported.Glyphosate is mass-produced and widely used in China,but few studies and reports on glyphosate-resistant weeds ... Glyphosate has been used worldwide for nearly 40 years,and 30 types of resistant weeds have been reported.Glyphosate is mass-produced and widely used in China,but few studies and reports on glyphosate-resistant weeds and resistance mechanisms exist.Previous studies found a goosegrass species with high glyphosate resistance from orchards in South China and its glyphosate resistant mechanism was described in this study.The cDNAof 5-enolpyruvylshikimate-3-phosphate synthase(EPSPS,EC 2.5.1.19),the target enzyme of glyphosate,was cloned from the glyphosate-resistant and-susceptible goosegrass,respectively,and referred as EPSPS-R and EPSPS-S.The Pro106 residue was known to be involved in the glyphosate resistance in most goosegrass populations.However,sequence analysis did not find the mutation at the Pro106 residue in the R biotype EPSPS amino acid sequence.The residue 133 and 382 was mutated in the R biotype EPSPS amino acid sequence instead,but it did not affect the EPSPS-S and EPSPS-R genes sensitivities to glyphosate.RT-PCR and Western blot analyses suggested that EPSPS mRNA and protein are mainly present in the shoot tissues both in the R and S goosegrass biotypes.The EPSPS-R rapidly responds to the glyphosate in R-biotype goosegrass and the induced expression was detected at 12 h post glyphosate treatment.The mRNA and protein expression of EPSPS-R increased constantly as the increasing concentration of glyphosate.However,the expression of the EPSPS-S was not induced significantly by glyphosate in the S goosegrass biotype.Quantification of real-time PCR results showed that the copy number of the EPSPS in R-biotype goosegrass was 4.7 times higher than that in the S goosegrass biotype.All the results implied that EPSPS gene amplification might mainly caused the glyphosate resistance of a goosegrass population collected from orchards in South China. 展开更多
关键词 populations shoot residue susceptible constantly translocation instead implied confer chlorophyll
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广义Young不等式及其逆(英文)
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作者 刘证 庄亚栋 《辽宁科技大学学报》 CAS 1989年第3期1-4,共4页
本文给出一种广义Young不等式,并且通过建立函数不等式证明了它的逆。
关键词 不等式证明 Young PROPOSITION INEQUALITY holds implies satisfy GENERA STRICTLY 三兰
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盘锦城市文化展示馆,盘锦,中国
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作者 张伶伶 王靖 +1 位作者 刘万里 武威 《世界建筑》 2017年第3期147-147,共1页
项目以稳重的建筑形态塑造了一个具有仪式感的场所空间,幻化的建筑表皮再现了"红海滩"地域景观,内向的空间布局隐喻着"天圆地方"的传统内涵,将城市开放空间融入建筑主导空间,诠释了建筑对城市空间的尊重与回应。
关键词 FLORID 建筑表皮 城市开放空间 地域景观 展示馆 天圆地方 城市文化 城市空间 红海滩 implies
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略论英语修辞格的一个难点
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作者 潘光威 《内蒙古师范大学学报(教育科学版)》 1994年第Z1期72-74,共3页
修辞学是英语专业学生在二、三年级必学的一个内容,也是教学的重点,各套教材在这一阶段对此都有安排.英语在其漫长的语言发展史中,逐步形成了丰富的修辞手法,其中最常见也最重要的可算simile明喻.metaphor暗喻.personification拟人、hyp... 修辞学是英语专业学生在二、三年级必学的一个内容,也是教学的重点,各套教材在这一阶段对此都有安排.英语在其漫长的语言发展史中,逐步形成了丰富的修辞手法,其中最常见也最重要的可算simile明喻.metaphor暗喻.personification拟人、hyper-bole夸张、euphemism委婉和metonymy借代这几种了.在数年的教学实践中.笔者发现.metaphor和metonymy是其中较易混淆的两种,学生们常感到难以区分,判断中错误率较高.问题出在哪里呢?关键是没有很好掌握两种修辞格的本质和区别.首先让我们来看看它们的定义.由于英汉修辞格的名称和含义不是完全对应的.所以我们着重看对英语修辞格的诠释:Metaphor—A metaphor,like a simile,alsomakes a comparison between two unlike ele-ments,but unlike a simile,this Comparisonis implied,rather than stated.《英汉辞海》的metaphor一条是:用一个词或短语指出常见的一种物体或概念以代替另一种,从而暗示它们之间的相似之处. 展开更多
关键词 英语修辞格 METAPHOR SIMILE METONYMY EUPHEMISM 英语专业 unlike stated implied 转喻
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Volatility Forecasting and Volatility Risk Premium
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作者 Jingfei Cheng 《Journal of Applied Mathematics and Physics》 2015年第1期98-102,共5页
Volatility is an important variable in the financial market. We propose a model-free implied volatility method to measure the volatility and test the volatility risk premium. The model-free implied volatility does not... Volatility is an important variable in the financial market. We propose a model-free implied volatility method to measure the volatility and test the volatility risk premium. The model-free implied volatility does not depend on the option pricing model, and extracts information from all the option contracts. We provide empirical evidence from the S & P 500 index option that model-free implied volatility is more accurate to forecast the future volatility and the volatility risk premium does not exist. 展开更多
关键词 MODEL-FREE implied VOLATILITY VOLATILITY Forecasting VOLATILITY RISK PREMIUM
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A Study on the Interaction Between The Catcher in the Rye and the Readers From the Perspective of Iser’s Reader-Response
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作者 ZHANG Yan HU Linjuan 《Sino-US English Teaching》 2021年第2期46-49,共4页
The Catcher in the Rye has been popular with readers since its publication,and critics at home and abroad have also conducted a lot of research on it.But they mainly proceed from the author and the text to evaluate an... The Catcher in the Rye has been popular with readers since its publication,and critics at home and abroad have also conducted a lot of research on it.But they mainly proceed from the author and the text to evaluate and analyze,ignoring the readers who are essential participants in text interpretation in the eyes of reader-response critics.In order to make up for this shortcoming,this article will take Iser’s reader-response criticism as a research perspective,starting from the three aspects of implied reader,response-inviting structure,and gaps to explore the interaction between the text of The Catcher in the Rye and the readers during the reading process.This research is expected to provide a new interpretation of this novel and provide reference for future research in related fields. 展开更多
关键词 Iser’s reader-response criticism implied reader response-inviting structure GAPS INTERACTION The Catcher in the Rye
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