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Trading volume and volatility in the foreign exchange market : Application of the GARCH and EGARCH Models / RIHAB MECHMECH
Titre : Trading volume and volatility in the foreign exchange market : Application of the GARCH and EGARCH Models Type de document : texte imprimé Auteurs : RIHAB MECHMECH, Auteur ; Chokri GHANMI, Auteur Editeur : Institut de financement du développement du Maghreb arabe (I.F.I.D) Année de publication : 2023 Collection : 41 ème Promotion Importance : 90p Présentation : Tab Langues : Français Mots-clés : Exchange rates returns Trading volume Volatility Microstructure GARCH EGARCH Unidirectional causal link Volatility clustering Résumé : This study provides a market-microstructure analysis of the exchange rate dynamics using
GARCH modeling framework. To analyze major currency pairs, EUR/TND and USD/TND,
we focus on the relationship between the exchange rate returns, trading volume and volatility.
The study highlights the phenomenon of volatility clustering, suggesting that high volatility
periods are often clustered together. We find a unidirectional, causal link running from returns
to trading volume, underscoring how volume is often a consequence of returns, rather than a
direct cause. The results indicate that the trading volume is insignificant in explaining the
exchange rate returns; these findings can be attributed to the market's lack of dynamism,
regulatory interventions and the cyclical balance of payments. Furthermore, The results show
that the trading volume can be utilized to identify the future volatility state indicating that
intensified trading may lead to higher market volatility.
En ligne : https://www.ifid-bibliotheque.com/biblio/41%C3%A8me_Banque/mechmech_rihab.pdf Trading volume and volatility in the foreign exchange market : Application of the GARCH and EGARCH Models [texte imprimé] / RIHAB MECHMECH, Auteur ; Chokri GHANMI, Auteur . - Tunis : Institut de financement du développement du Maghreb arabe (I.F.I.D), 2023 . - 90p : Tab. - (41 ème Promotion) .
Langues : Français
Mots-clés : Exchange rates returns Trading volume Volatility Microstructure GARCH EGARCH Unidirectional causal link Volatility clustering Résumé : This study provides a market-microstructure analysis of the exchange rate dynamics using
GARCH modeling framework. To analyze major currency pairs, EUR/TND and USD/TND,
we focus on the relationship between the exchange rate returns, trading volume and volatility.
The study highlights the phenomenon of volatility clustering, suggesting that high volatility
periods are often clustered together. We find a unidirectional, causal link running from returns
to trading volume, underscoring how volume is often a consequence of returns, rather than a
direct cause. The results indicate that the trading volume is insignificant in explaining the
exchange rate returns; these findings can be attributed to the market's lack of dynamism,
regulatory interventions and the cyclical balance of payments. Furthermore, The results show
that the trading volume can be utilized to identify the future volatility state indicating that
intensified trading may lead to higher market volatility.
En ligne : https://www.ifid-bibliotheque.com/biblio/41%C3%A8me_Banque/mechmech_rihab.pdf Réservation
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Code-barres Cote Support Localisation Section Disponibilité 0900005814 41ème Promotion Banque Mémoire Bibliothèque de l'IFID Banques Disponible The volatility edge in options trading / Jeff AUGEN
Titre : The volatility edge in options trading Type de document : texte imprimé Auteurs : Jeff AUGEN, Auteur Importance : (280p.) Présentation : ill .couv Format : 22 cm ISBN/ISSN/EAN : 978-0-13-235469-1 Langues : Anglais Mots-clés : volatility investing markets new strategies Index. décimale : 658.1 Résumé : In The Volatility Edge in Options Trading, leading options trader Jeff Augen introduces breakthrough strategies for identifying subtle price distortions that arise from changes in market volatility. Drawing on more than a decade of never-before-published research, Augen provides new analytical techniques that every experienced options trader can use to study historical price changes, mitigate risk, limit market exposure, and structure mathematically sound high-return options positions. Augen bridges the gap between pricing theory mathematics and market realities, covering topics addressed in no other options trading book. He introduces new ways to exploit the rising volatility that precedes earnings releases; trade the monthly options expiration cycle; leverage put:call price parity disruptions; understand weekend and month-end effects on bid-ask spreads; and use options on the CBOE Volatility Index (VIX) as a portfolio hedge. Unlike conventional guides, ***The Volatility Edge in Options Trading***doesn’t rely on oversimplified positional analyses: it fully reflects ongoing changes in the prices of underlying securities, market volatility, and time decay. What’s more, Augen shows how to build your own customized analytical toolset using low-cost desktop software and data sources: tools that can transform his state-of-the-art strategies into practical buy/sell guidance. The volatility edge in options trading [texte imprimé] / Jeff AUGEN, Auteur . - [s.d.] . - (280p.) : ill .couv ; 22 cm.
ISBN : 978-0-13-235469-1
Langues : Anglais
Mots-clés : volatility investing markets new strategies Index. décimale : 658.1 Résumé : In The Volatility Edge in Options Trading, leading options trader Jeff Augen introduces breakthrough strategies for identifying subtle price distortions that arise from changes in market volatility. Drawing on more than a decade of never-before-published research, Augen provides new analytical techniques that every experienced options trader can use to study historical price changes, mitigate risk, limit market exposure, and structure mathematically sound high-return options positions. Augen bridges the gap between pricing theory mathematics and market realities, covering topics addressed in no other options trading book. He introduces new ways to exploit the rising volatility that precedes earnings releases; trade the monthly options expiration cycle; leverage put:call price parity disruptions; understand weekend and month-end effects on bid-ask spreads; and use options on the CBOE Volatility Index (VIX) as a portfolio hedge. Unlike conventional guides, ***The Volatility Edge in Options Trading***doesn’t rely on oversimplified positional analyses: it fully reflects ongoing changes in the prices of underlying securities, market volatility, and time decay. What’s more, Augen shows how to build your own customized analytical toolset using low-cost desktop software and data sources: tools that can transform his state-of-the-art strategies into practical buy/sell guidance. Réservation
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Code-barres Cote Support Localisation Section Disponibilité 0900003584 658.1 AUG Livre Bibliothèque de l'IFID Actualités économiques Disponible
- Bibliothèque de l'IFID 8, Avenue Tahar Ben Ammar El Manar II. 2092 Tunisie Téléphone : (+216) 71 885 011/ 71885 211
- ifidmag.inst@ifid.org.tn