Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally numerically summarise are used to make comparison. With...

We find that the demand for stock option positions that increase exposure to the underlying is positively related to measures of investor sentiment and past market returns, while the demand for index options is invariant to these factors. These differences in trading patterns are reflected in...

There have been wide applications of trend following based trading system in the real world. The traditional methods include 5 days moving average, 20 days moving average, 200 days moving average and so on. If the midterm market trend is the biggest concern, 20 days and 50 days moving averages...