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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | The Information Content of Currency Options |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 50 |
| Date | 2022 |
| Abstract Text | The information content of equity options has been a topic of much research, evidence showing that there is indeed forward looking information that can be obtained about the underlying securities’returns by analyzing options data. While in the case of equities data is easier to obtain, less is available in the case of currency options and therefore there is significantly less research covering this area. This thesis attempts to find what information can be obtained about future currency returns by analyzing relevant and available foreign exchange options. My goal is to find what variables influence these returns and in what way, and then build a model that predicts upcoming positive and negative price jumps. Lastly, I try to incorporate everything into a model for the currency returns themselves with the use of Machine Learning techniques. In the end backtests for strategies using the derived information will be presented and discussed. |
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| Funders | Master’s Thesis Submitted in partial fulfillment of the requirements for the degree of Master of Science in Quantitative Finance |