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Full-Text Articles in Business
Indication With Further Analysis Of Mispricing And Barriers In Arbitrage In Chinese Option Market A Five-Month Study On Sample Option, Hao Feng
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
This thesis presents indication of mispricing of options in the Chinese option market, focusing on the very first and the most representative option in the Chinese option market. I used the Black-Scholes model to calculate the option price and compare the result to its real performance. The mispricing of sample option is statistically significant. With further analysis, I found out that underlying asset price and its volatility are the possible factors that most likely lead to mispricing. Because of the consistent mispricing, I investigated the industrial regulations from the China Securities Regulatory Commission (CSRC) and found proof with examples that …
Empirical Properties Of Functional Regression Models And Application To High-Frequency Financial Data, Xi Zhang
All Graduate Theses and Dissertations, Spring 1920 to Summer 2023
Functional data analysis (FDA) has grown into a substantial field of statistical research, with new methodology, numerous useful applications and interesting novel theoretical developments. My dissertation focuses on the empirical properties of functional regression models and their application to financial data. We start from testing the empirical properties of forecasts with the functional autoregressive models based on simulated and real data. We define intraday returns and consider their prediction from such returns on a market index. This is an extension to intraday data of the Capital Asset Pricing model. Finally we investigate multifactor functional models and assess their suitability for …