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Full-Text Articles in Finance and Financial Management
European Floating Strike Lookback Options: Alpha Prediction And Generation Using Unsupervised Learning, Tristan Lim, Aldy Gunawan, Chin Sin Ong
European Floating Strike Lookback Options: Alpha Prediction And Generation Using Unsupervised Learning, Tristan Lim, Aldy Gunawan, Chin Sin Ong
Research Collection School Of Computing and Information Systems
This research utilized the intrinsic quality of European floating strike lookback call options, alongside selected return and volatility parameters, in a K-means clustering environment, to recommend an alpha generative trading strategy. The result is an elegant easy-to-use alpha strategy based on the option mechanisms which identifies investment assets with high degree of significance. In an upward trending market, the research had identified European floating strike lookback call option as an evaluative criterion and investable asset, which would both allow investors to predict and profit from alpha opportunities. The findings will be useful for (i) buy-side investors seeking alpha generation and/or …
Picking Flowers In An Ico Garden, Fam Guo Teng, Paul R. Griffin, Andrew Koh
Picking Flowers In An Ico Garden, Fam Guo Teng, Paul R. Griffin, Andrew Koh
Research Collection School Of Computing and Information Systems
The rise of Initial Coin Offerings (ICO) in recent times and their potential for investment opportunities have investors spending a lot of time researching ICOs or having to follow the crowd. This paper aims to explore four broad factors of ICOs: identity, credibility, investor sentiment, and price movement to develop a framework that is useful in determining ICO quality. Research is shown using data sources including public forums, chat groups, web sites, white papers as well as smart contract details. Finally, a system, based on the framework, is proposed that can be used to detect and regulate ICO activities and …