• 论文 •

### 隐含高阶协矩：提取、分析及交易策略

• 出版日期:2017-04-15 发布日期:2017-04-14

### Option-implied Higher-order Co-moments：Extraction, Analysis and Trading Strategy

Zheng Zhenlong & Zheng Guozhong

• Online:2017-04-15 Published:2017-04-14

Abstract:

In multi-asset portfolio analysis framework, in addition to the single asset returns and volatility of such moments, the higher-order co-moments such as co-skewness and co-kurtosis are also systemic risk measure which cannot be ignored. In Bakshi etc. (2003) and other scholars’ research framework, this paper extracts implied high-order total moments, implied co-moments and idiosyncratic moments with Taiwan options market data. This paper inspects their characteristic differences, discusses their respective prediction effect of related realized moments, and then builds co-moments trading strategies. The research results indicate that: In comparison of skewness and kurtosis, the tendency and statistical characteristics of the implied volatility and the actual volatility are more consistent. The fluctuation of co-skewness and co-kurtosis is much more severe than covariance. Co-moments trading strategies: The differences of historical moments and implied moments mainly reflecte in the higher-order co-moments such as co-skewness and co-kurtosis. The historical covariance and co-skewness strategies perform better in stabilization period. The advantage of implied co-moments is their robustness in trading strategies. The effective reflection of options market information depends on the market’s matures, evolution and ascension of trading activity.