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Systematic Options Trading: Evaluating, Analyzing, and Profiting from Mispriced Option Opportunities by Vadim Tsudikman, Sergey Izraylevich

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Index

A

absolute price changes distribution, 58–61

absolute values of criterion, 110–112

adding combinations, 76

additive convolution, 190

algorithms

of combination selection, 121–122

empirical distribution, 28–31

optimization, xxii

Pareto sets, 183–189

allocation of capital, 172–173

analysis

comparative, xxiv–xxv

criteria effectiveness, 106–110, 150–155

dynamic, 67

factors affecting combination selection, 113–114

multicriteria, xxiv

number of combinations used in, 75–77

ranking

generalized results, 140–142

methods of, 123–131

results of, 131–138

regression, 83

selection of underlying assets, 162–165

Sharpe ratios, 101

visual, xxxiv

applying

convolution methods, 212–214

lognormal distributions, 42

regression models to profit and value relationships, ...

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