코스피 200 변동성지수를 이용한 옵션투자 정보시스템의 개발

• 영문명: Development of Options Trading System using KOSPI 200 Volatility Index
• 발행기관: 한국IT서비스학회
• 저자명: 김선웅(Sun Woong Kim) 최흥식(Heung Sik Choi) 오정환(Jeong Hwan Oh)
• 간행물 정보: 『한국IT서비스학회지』한국IT서비스학회지 제13권 제2호, 151~161쪽, 전체 10쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2014.06.30

영문 초록

KOSPI 200 index options market has the highest trading volume in the global options markets. The risk and return structure of options contracts are very complex. Volatility complicates options trading because volatility plays a central role in options pricing process. This study develops a trading system for KOSPI 200 index options trading using KOSPI 200 volatility index. We design a database system to handle the complex options information such as price, volume, maturity, strike price, and volatility using Oracle DBMS. We then develop options trading strategies to test how the volatility index is related to the prices of complicated options trading strategies. Back test procedure is presented with PL/SQL of Oracle DBMS. We simulate the suggested trading system using historical data set of KOSPI 200 index options from December 2008 to April 2012.

목차

Abstract

1. 서론

2. 변동성지수와 옵션투자전략

3. 자료의 처리와 백테스팅 모형

4. 실증 분석

5. 결론

참고문헌

키워드

Trading System Options Database Design Back Test Procedure KOSPI 200 Volatility Index