Options Trading and Hedging Strategies Based on Market Data Analytics

Abstract

Financial engineering is based on mathematics and engineering point of view to explore and calculate the benefits and risks of financial products Unlike common approaches proposed by financial researchers we attempt to solve some practical problems with a data-oriented approach In this work we exploit a large amount of market data of futures options to address two issues in this work The first issue is to discover an appropriate product choice and timing for profitable trading Without loss of generality we investigate the effectiveness of several trading constraints and technical indicators by scrutinizing and backtesting with the long-term market data The second issue is to use the spread strategies for risk control when being an options seller Note that a spread position is constituted where one buys an option and sells another option against it In general we develop a scheme to simulate different trading strategies and thus identify some simple but profitable strategies Additionally a backtesting platform is developed to constitute a practical experimental environment A user may combine and test his or her own strategies freely on this platform Experimental studies show that our strategies yield good profit in the TAIFEX market from 2004 to 2018

Date of Award	2019
Original language	English
Supervisor	Wei-Guang Teng (Supervisor)