TY  - GEN
N2  - This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.
DO  - 10.1007/978-3-030-71242-6
DO  - doi
AB  - This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.
T1  - Analysing intraday implied volatility for pricing currency options /
AU  - Le, Thi
CN  - HG3853
N1  - Originally presented as the author's thesis (Ph. D.)--Murdoch Business School, Murdoch University.
ID  - 1436001
KW  - Foreign exchange options.
KW  - Options (Finance)
KW  - Financial risk management.
KW  - Option de change.
KW  - Options (Finances)
KW  - Finances
SN  - 9783030712426
SN  - 3030712427
TI  - Analysing intraday implied volatility for pricing currency options /
LK  - https://univsouthin.idm.oclc.org/login?url=https://link.springer.com/10.1007/978-3-030-71242-6
UR  - https://univsouthin.idm.oclc.org/login?url=https://link.springer.com/10.1007/978-3-030-71242-6
ER  -