A Daily Trading Strategy in the ETN Space

《A Daily Trading Strategy in the ETN Space》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、ADailyTradingStrategyintheETNSpaceLOVJITTHUKRAL,DEANDIAVATOPOULOS,HÉLYETTEGEMAN,ANDCOLBYWRIGHTLOVJITTHUKRALiavatopoulosetal.[forthcoming]eclipsethereturnstotheS&P500atnearlyisaPhDstudentatinvestigatethepotentialprofitsallmispricingthresholdsabove5%.Birk

2、beck,Universitytoaweeklylong-shorttradingOurobjectiveistoreplicatetheirtradingofLondoninLondon,Dstrategyintheexchange-tradedstrategyondailybasis.Thepreviousauthors’UK.lovjitthukral@gmail.comnotes(ETNs)space.Theirsimplisticstrategyworkappliedaveryrigidti

3、meframetotheisbasedontheindicative-value(IV)pricetradingstrategy:InvestmentdecisionswereDEANDIAVATOPOULOSgappresentinETNs.ThestrategyinvolvesmadeonlyatthecloseoftradingonTuesdays,isanassistantprofessorofassuminglongpositionsinETNswithanwithcorresponding

4、tradesbeingexecutedonlyfinanceinVillanovaUni-IV-pricegapthatexceedsanarbitraryupperonWednesdaysattheopeningoftrading.versityatVillanova,PA.cdiavato@gmail.comthresholdandassumingshortpositionsinAlthoughtheirstrategyresultsinimpressiveETNswithanIV-pricega

5、pthatfallsbelowanreturns,itisquitelikelythatthewell-docu-HÉLYETTEGEMANarbitrarylowerthreshold(equaltotheuppermentedmispricingintheETNspaceexistsonisaprofessoroffinancethresholdinabsoluteterms).AllinvestingdaysotherthanTuesday.SincethemispricingatBirkbec

6、k,Universitydecisionsaremadeatthecloseoftradingislikelyprevalentonalldaysoftheweek,itofLondonandJohnsonTuesday,andpositionsarecreatedattheseemsreasonabletoexploreastrategythatseeksHopkinsUniversityinLondon,UK.openingoftradingonthenextmorning.Posi-toexpl

7、oitthismispricingonamorefrequenthgeman@hotmail.comtionsarehelduntilthefollowingWednesdaybasis.Ifweeklyexploitationofthemispricingmorning.TheauthorsignoreliquidityandinherentinETNsisprofitable,morefrequentCOLBYWRIGHTshort-sellingconstraintsandtransaction

8、exploitationofthemispricingshouldincreaseTheJournalofTrading2013.8.3:57-67.Downloadedfromwww.iijournals.combyon08/04/13.isaprofessoroffinanceatcosts.totalprofitstothetradingstrategy.BrighamYoungUniversityinProvo,UT.Theyreportimpr