European floating strike lookback options: Alpha prediction and generation using unsupervised learning

• Main Authors: LIM, Tristan, GUNAWAN, Aldy, ONG, Chin Sin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2020
• Subjects: Options; volatility measures; statistical methods; simulations; machine learning; MITB student; Data Science; Finance and Financial Management; Numerical Analysis and Scientific Computing
• Online Access: https://ink.library.smu.edu.sg/sis_research/5988; https://ink.library.smu.edu.sg/context/sis_research/article/6991/viewcontent/059_070_Lim_JFDS.pdf
• Institution: Singapore Management University

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 th...