Dynamic Volatility Trading Strategies in the Currency Option Market
โ Scribed by Dajiang Guo
- Book ID
- 110277650
- Publisher
- Springer US
- Year
- 2000
- Tongue
- English
- Weight
- 94 KB
- Volume
- 4
- Category
- Article
- ISSN
- 1380-6645
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract This article examines the interrelations between future volatility of the U.S. dollar/British pound exchange rate and trading volume of currency options for the British pound. The future volatility of the exchange rate is approximated alternatively by implied volatility and by IGARCH vo
Trading imbalances reflect the quality of market information and may contain more information than the number of trades or trading volume. In order to better understand how trading imbalances play a role different from traditional variables (i.e., number of trades and trading volume) in explaining v