Skip to main content
Home
Browse All
Log in
|
Favorites
|
Help
|
English
English
Engish-Pirate
한국어
Search
Advanced Search
Find results with:
error div
Add another field
Search by date
Search by date:
from
after
before
on
from:
to
to:
Searching collections:
CCSU Theses and Dissertations
Add or remove collections
Home
CCSU Theses & Dissertations
Mining for Profitable Low-Risk Delta-Neutral Long Straddle Option Strategies
Reference URL
Share
Add tags
Comment
Rate
Save to favorites
Remove from favorites
To link to this object, paste this link in email, IM or document
To embed this object, paste this HTML in website
Mining for Profitable Low-Risk Delta-Neutral Long Straddle Option Strategies
View Description
Download
small (250x250 max)
medium (500x500 max)
Large
Extra Large
large ( > 500x500)
Full Resolution
Print
1817.pdf
Description
Identifier
Thesis
2267
Author
Murugan, Senthil K. (Senthil Kumar), 1973-
Title
Mining
for
Profitable
Low-Risk
Delta-Neutral
Long
Straddle
Option
Strategies
Publisher
Central Connecticut State University
Date of Publication
2012
Resource Type
Master's Thesis
Abstract
This
study
provides
a
framework
for
identifying
potential
low-risk
high-profit
option
strategies
.
Delta-neutral
long
straddle
strategies
are
explored
. These
strategies
are
profitable
when
the
underlying
stock
price
either
increases
or
decreases
considerably
.
Option
transactions
between
years
2002
and
2006
for
seven
underlying
stocks
with
high
transaction
volume
were
used
to
form
the
strategies
.
Some
of the
drivers
of the
values
of an
option
such
as
implied
volatilities
,
Greeks
, and their
elasticities
were
computed
using
the
Black-Scholes
option
pricing
model
. The
strategy
risk
(in
%)
is
defined
here as the
fraction
of
tradable
days
with a
loss
.
Strategies
were
classified
as
low-risk
if their
corresponding
strategy
risk
was
less
than or
equal
to
50%
.
Only
about
6.9%
of the
identified
delta-neutral
long
straddle
strategies
were
low-risk
strategies
. The
entry
analysis
identifies
the
low-risk
delta-neutral
long
straddle
strategies
that
could
be
entered
.
Predictive
models
were
built
and
validated
using
SAS
JMP
software
. A
set
of
neural
network
models
,
one
for
each
underlying
stock
, that
predicts
the
low-risk
category
using
all
standardized
variables
as
independent
variables
had the
highest
test
accuracy
of
about
58%
true
positives
. This
model
was
selected
as the
best
predictive
model
.
Top
2%
of the
predicted
low-risk
strategies
from the
best
predictive
model
, with an
overall
lift
of
around
8
, were
identified
as the
best
low-risk
strategies
to
enter
. The
exit
analysis
identifies
optimal
conditions
to
exit
the
entered
strategies
so
as to
maximize
the
expected
profit
under
various
constraints
. An
entered
strategy
is
exited
when
one
of the
following
optimal
conditions
is
met
: the
loss
limit
, the
profit
limit
,
limit
on
remaining
days
to
expire
or the
last
tradable
day
. A
grid
search
on the
training
data
is
performed
to
find
the
optimal
exit
rules
,
which
are
further
validated
using
test
dataset
. The
grid
with
various
exit
parameter
limits
and
strategy
returns
are
computed
by a
heuristic
algorithm
that
minimizes
data
processing
time
. For a
trader
with
limited
funds
, the
optimal
exit
rules
that
corresponds
to the
constraint
that
75%
of
entered
strategies
are
expected
to
exit
profitably
was
chosen
as the
best
scenario
to
maximize
strategy
returns
.
Under
such
trading
scenario
,
mean
profits
from
5.1%
(QCOM)
to
44.4%
(MO)
were
observed
.
Notes
"
Submitted
in
Partial
Fulfillment
of the
Requirements
for the
Degree
of
Master
of
Science
in
Data
Mining.
";
Thesis
advisor
:
Dr
.
Daniel
Larose
;
M.S.,Central
Connecticut
State
University,,2012.
;
Includes
bibliographical
references
(leaves
104-106)
.
Subject
Data mining.
Investments.
Department
Department of Mathematical Sciences
Advisor
Larose, Daniel T.
Type
Text
Digital Format
application/pdf
Software
System requirements: PC and World Wide Web browser.
Language
eng
OCLC number
824509512
Rating
Tags
Add tags
for Mining for Profitable Low-Risk Delta-Neutral Long Straddle Option Strategies
View as list
|
View as tag cloud
|
report abuse
Comments
Post a Comment
for
Mining for Profitable Low-Risk Delta-Neutral Long Straddle Option Strategies
Your rating was saved.
you wish to report:
Your comment:
Your Name:
...
Back to top
Select the collections to add or remove from your search
A
B
C
D
E
F
G
H
I
J
K
L
M
N
O
P
Q
R
S
T
U
V
W
X
Y
Z
Select All Collections
C
CCSU Student Publications
CCSU Theses and Dissertations
G
GLBTQ Archives
M
Modern Language Oral Histories
O
O'Neill Archives Oral Histories
P
Polish American Pamphlets
Polish Posters
T
Treasures from the Special Collections
V
Veterans History Project
500
You have selected:
1
OK
Cancel