Market volatility and trading strategies.

Title: Market volatility and trading strategies.
Identifier: AAI9108136
identifier: 9108136
Creator: Krull, Steven Brian.
Contributor: Adviser: Harry Markowitz
Date: 1990
Language: English
Publisher: City University of New York.
Subject: Economics, Finance | Economics, Theory | Economics, General
Abstract: Two models of securities markets are simulated. First is a model of the stock market with investors using rebalancing and option replicating portfolio insurance strategies. Second, the above model is extended to include a futures market and index arbitrageurs. Simulation results show that more portfolio insurers leads to greater market volatility, index arbitrage does not affect market volatility, portfolio insurance strategies do not appear to be mean-variance efficient, and high daily volatility does not appear to be related to high quarterly volatility. Implications are that rational investors would not use portfolio insurance so there is no need to restrict program trading, and high daily volatility is not necessarily bad since quarterly volatility is largely unaffected.
Type: dissertation
Source: PQT Legacy CUNY.xlsx
degree: Ph.D.