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Keywords: Signal Following Trading Strategy
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2011) 19 (3): 251–280.
Published: 31 August 2011
... volatility functions and risk neutral price densities based on non-parametric method every minute and by calculating volatility curvature and skewness premium. We then compare the daily rate of return of the signal following trading strategy that we buy (sell) a stock index when the volatility curvature...
