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- Trading_strategy_index abstract "Strategy indices are indices that track the performance of an algorithmic trading strategy. The algorithm clearly and transparently specifies all the actions that must be taken.The following are examples of algorithms that strategies can be based on.1) Pairs trading strategy. This strategy examines pairs of instruments that are known to be statistically correlated. For example, consider Shell and Exxon. Both are oil stocks and are likely to move together. Knowledge of this trend creates an opportunity for profit, as on the occasions when these stocks break correlation for an instant, the trader may buy one and short sell the other at a premium.2) Fed funds curve strategy This strategy takes a view on the shape of the curve based on the actions of the Fed. In this strategy, one puts on a steepener or flattener, based on whether the Federal Reserve has cut the benchmark rate or raised it. This is based on the conventional wisdom that the curve steepens when the rate is expected to be cut, and vice versa.3) Implied volatility against realized volatility . In a number of markets such as commodities and rates, the implied volatility, as implied by straddle prices is higher than the realized volatility of the underlying forward. One way to 'exploit' this is to sell a short expiry (e.g. 1 month) straddle and delta-hedging it until it is alive. The strategy makes money if at expiry, the sum of the premium received (and accrued at money market), the (negative) final value of the straddle and the (positive/negative) value of the forwards (entered into to delta-hedge the straddle) is greater than zero. A variation of this, and more common solution in equity, is to sell either a one-month or three-month variance swap – usually on the Eurostoxx 50E or S&P500 index – that pays a positive performance if the implied volatility (strike of the swap) is above the realised volatility at expiry; in this case there is no need to delta-hedging the underlying movements.".
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- Trading_strategy_index wikiPageOutDegree "22".
- Trading_strategy_index wikiPageRevisionID "644215494".
- Trading_strategy_index wikiPageWikiLink Algorithm.
- Trading_strategy_index wikiPageWikiLink Bond_(finance).
- Trading_strategy_index wikiPageWikiLink Category:Stock_market.
- Trading_strategy_index wikiPageWikiLink Commodities.
- Trading_strategy_index wikiPageWikiLink Commodity.
- Trading_strategy_index wikiPageWikiLink Corporate.
- Trading_strategy_index wikiPageWikiLink Corporation.
- Trading_strategy_index wikiPageWikiLink Data_dredging.
- Trading_strategy_index wikiPageWikiLink Data_snooping_bias.
- Trading_strategy_index wikiPageWikiLink Derivative_(finance).
- Trading_strategy_index wikiPageWikiLink Equities.
- Trading_strategy_index wikiPageWikiLink ExxonMobil.
- Trading_strategy_index wikiPageWikiLink Federal_Reserve_System.
- Trading_strategy_index wikiPageWikiLink Hedge_fund.
- Trading_strategy_index wikiPageWikiLink Index_(economics).
- Trading_strategy_index wikiPageWikiLink Interest_rate_swap.
- Trading_strategy_index wikiPageWikiLink Kaupthing.
- Trading_strategy_index wikiPageWikiLink Kaupthing_Bank.
- Trading_strategy_index wikiPageWikiLink Landsbanki.
- Trading_strategy_index wikiPageWikiLink Pension_fund.
- Trading_strategy_index wikiPageWikiLink Royal_Dutch_Shell.
- Trading_strategy_index wikiPageWikiLink Short_(finance).
- Trading_strategy_index wikiPageWikiLink Stock.
- Trading_strategy_index wikiPageWikiLink Stock_trader.
- Trading_strategy_index wikiPageWikiLink Trading_strategy.
- Trading_strategy_index wikiPageWikiLink Transparency_(behavior).
- Trading_strategy_index wikiPageWikiLink Variance_swap.
- Trading_strategy_index wikiPageWikiLinkText "Trading strategy index".
- Trading_strategy_index hasPhotoCollection Trading_strategy_index.
- Trading_strategy_index wikiPageUsesTemplate Template:Multiple_issues.
- Trading_strategy_index wikiPageUsesTemplate Template:Reflist.
- Trading_strategy_index subject Category:Stock_market.
- Trading_strategy_index hypernym Indices.
- Trading_strategy_index type Article.
- Trading_strategy_index type Article.
- Trading_strategy_index type Market.
- Trading_strategy_index comment "Strategy indices are indices that track the performance of an algorithmic trading strategy. The algorithm clearly and transparently specifies all the actions that must be taken.The following are examples of algorithms that strategies can be based on.1) Pairs trading strategy. This strategy examines pairs of instruments that are known to be statistically correlated. For example, consider Shell and Exxon. Both are oil stocks and are likely to move together.".
- Trading_strategy_index label "Trading strategy index".
- Trading_strategy_index sameAs m.04q7n4_.
- Trading_strategy_index sameAs Q7832246.
- Trading_strategy_index sameAs Q7832246.
- Trading_strategy_index wasDerivedFrom Trading_strategy_index?oldid=644215494.
- Trading_strategy_index isPrimaryTopicOf Trading_strategy_index.