文斯最佳出價比例在選擇權價差組合交易盈利之研究;Study on the Profitability of Option Spread Trading Using Vince′s Optimal Bidding Fraction

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/92650

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/92650

Title:	文斯最佳出價比例在選擇權價差組合交易盈利之研究;Study on the Profitability of Option Spread Trading Using Vince′s Optimal Bidding Fraction
Authors:	姚志鴻;Yao, Chih-Hong
Contributors:	財務金融學系在職專班
Keywords:	資金管理;凱利準則;選擇權價差組合交易;文斯最佳出價比例;可盈利的;最佳出價比例;Money management;Kelly criterion;option spread trading;Vince′s Optimal fraction;profitable;optimal bidding fraction
Date:	2023-07-10
Issue Date:	2024-09-19 16:04:04 (UTC+8)
Publisher:	國立中央大學
Abstract:	資金管理是金融交易中最重要的問題之一。許多資金管理技巧基於凱利準則，這是一種理論優化方法，可用於確定持有部位大小的最佳比例。對於資金管理，理論和實際交易之間仍存在很大差距。我們使用一種基於凱利準則的選擇權交易策略。儘管選擇權的價格波動性很高，但可以通過在不同履約價上進行多頭或空頭操作，形成各種選擇權價差組合，以預先鎖定損失和利潤。本研究期間為2013年1月4日至2023年2月22日，通過持有選擇權價差組合交易，我們可以獲得固定的利潤和損失分布。我們使用了一種選擇權交易方法，通過文斯最佳出價比例的演算法，計算最佳出價比例，找到有利可圖的選擇權組合。我們使用的模型是一種判斷選擇權價差組合是否為有利可圖的方法，同時具有持有部位大小的資金管理。實驗表明，我們的方法在實際場景中是可行的。當投資者已經找到可盈利的投資組合時，還要注意資金控管的部分當出價比例過高時，不只無法得到預期的正報酬，反而出現虧損的結果。最後一部分提供了未來的工作方向。 ;Money management is one of the most important issues in financial trading. Many money management techniques are based on the Kelly criterion, which is a theoretical optimization method used to determine the optimal proportion of position size. However, there is still a significant gap between theory and practical trading when it comes to money management. We employ an options trading strategy based on the Kelly criterion. Despite the high price volatility of options, various options spread combinations can be created by taking long or short positions at different strike prices to predefine both losses and profits. The research period for this study spans from January 4, 2013, to February 22, 2023. By engaging in options spread combination trades, we can achieve fixed profit and loss distributions. We utilize an options trading approach that involves employing the algorithm of Vince′s Optimal fraction method to calculate the optimal bid ratios and identify profitable combinations of options. The model we use serves as a method for determining the profitability of options spread combinations while incorporating capital management in terms of position sizing. The experiments have shown that our method is feasible in practical scenarios. However, when investors have identified profitable investment portfolios, it is crucial to pay attention to the aspect of money management. If the bidding ratio is too high, it can lead to not only a failure to achieve the expected positive returns but also result in losses. The final section provides directions for future work.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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