European floating strike lookback options: Alpha prediction and generation using unsupervised learning
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...
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Main Authors: | LIM MING SOON TRISTAN, ONG, Chin Sin, GUNAWAN, Aldy |
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Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2020
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Online Access: | https://ink.library.smu.edu.sg/sis_research/7125 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=8128&context=sis_research |
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Institution: | Singapore Management University |
Language: | English |
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