Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning
Year of publication: |
2021
|
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Authors: | Guterding, Daniel |
Published in: |
The Journal of finance and data science : JFDS. - Amsterdam [u.a.] : Elsevier, ISSN 2405-9188, ZDB-ID 2837532-4. - Vol. 7.2021, p. 126-142
|
Subject: | Derivatives pricing | Heston model | Machine learning | Trader inventory | Künstliche Intelligenz | Artificial intelligence | Derivat | Derivative | Lagerhaltungsmodell | Inventory model | Optionspreistheorie | Option pricing theory | Lagermanagement | Warehouse management | Preis | Price | Lagerzyklus | Inventory cycle | Preismanagement | Pricing strategy |
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