{"id":528,"date":"2021-12-29T08:05:00","date_gmt":"2021-12-29T08:05:00","guid":{"rendered":"https:\/\/zli.one\/?p=528"},"modified":"2023-06-25T02:07:32","modified_gmt":"2023-06-25T02:07:32","slug":"hang-seng-index-hsi-option-arbitrage-strategy-analysis","status":"publish","type":"post","link":"https:\/\/zli.one\/?p=528","title":{"rendered":"Hang Seng Index (HSI) Option Arbitrage Strategy Analysis"},"content":{"rendered":"\n<p><em>An optimal model for predicting Hang Send Index with its volatility.<\/em><\/p>\n\n\n\n<p><\/p>\n\n\n\n<p>The model uses machine learning to adopt four volatility models, GARCH family model, SV-T model, HARlnRV model, and SABR model with 500 trading days data from trading prices of the Hang Seng Index.<\/p>\n\n\n\n<p>The result of the model shows it is a volatility back-test with defining the model as a volatility threshold in Black-Scholes implied volatility, a standard constant holds a regular version of future market sentiment to determine the spread pattern.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>An optimal model for predicting Hang Send Index with its volatility. The model uses machine learning to adopt four volatility models, GARCH family model, SV-T &hellip;<\/p>\n","protected":false},"author":1,"featured_media":665,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[10],"tags":[],"class_list":["post-528","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-projects"],"amp_enabled":true,"_links":{"self":[{"href":"https:\/\/zli.one\/index.php?rest_route=\/wp\/v2\/posts\/528","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/zli.one\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/zli.one\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/zli.one\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/zli.one\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=528"}],"version-history":[{"count":6,"href":"https:\/\/zli.one\/index.php?rest_route=\/wp\/v2\/posts\/528\/revisions"}],"predecessor-version":[{"id":708,"href":"https:\/\/zli.one\/index.php?rest_route=\/wp\/v2\/posts\/528\/revisions\/708"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/zli.one\/index.php?rest_route=\/wp\/v2\/media\/665"}],"wp:attachment":[{"href":"https:\/\/zli.one\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=528"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/zli.one\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=528"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/zli.one\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=528"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}