Trading and Investing in Volatility Products
Trading and Investing in Volatility Products
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波动性产品的交易和投资
DOI：
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发表时间：
2015
期刊：
影响因子：
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通讯作者：
Dimitris Korovilas
中科院分区：
文献类型：
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作者：
C. Alexander;Julia Kapraun;Dimitris Korovilas
自银行业危机以来，随着波动性交易所交易产品（etf）向大型机构投资者以外的客户开放，市场得到了迅速发展。投机行为是由日益复杂的杠杆和反向敞口驱动的，包括那些试图在波动率期货曲线上进行重大滚动成本交易的敞口。长期投资者出于对持续的欧元区危机的担忧，将这些产品用于股票分散投资。我们调查了这一领域新兴的学术文献，并对欧洲和美国交易所交易波动率产品的市场和统计特征进行了全面和最新的比较。
Since the banking crisis the market for volatility exchange-traded products has developed rapidly as it opens to clients beyond the large institutional investor pool. Speculation is driven by increasingly complex leveraged and inverse exposures including those that attempt to trade on significant roll costs in volatility futures curves. Longer-term investors use these products for the purposes of equity diversification, driven by fears of an ongoing Eurozone crisis. We survey the burgeoning academic literature in this area and present a comprehensive and up-to-date comparison of the market and statistical characteristics of European and US exchange-traded volatility products.