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Rebalancing of exchange traded funds in stock market using option trading strategies.

  • Academic Journal
  • Ekonomia i Prawo; Sep2021, Vol. 20 Issue 3, p513-527, 15p
  • Motivation: The finance and academic industries are highly discussed in the stock market trading domain. The increase in economic globalization shows the connection among stock markets in different countries, which produces the effect of risk conduction in the market. Forecasting the direction of every day's stock market return is important and challenging. The growing complexity and dynamic features in stock markets are difficult in the financial industry. The inflexible trading method developed by financial practitioners utilized a larger amount of stock market features and is failed to achieve a satisfactory result in every condition of the market. Further, the existing data mining approaches are incomplete and inefficient. Aim: To overcome the issues in stock and problem of existing methods, proposed option trading strategies for rebalancing Exchange Traded Fund (ETF) in the stock market. Rebalancing-ETF measure the volatility of the stock to track the error of model and rebalance the threshold quality to improve the trade. The proposed method increases the order of threshold quantity to rebalance the trade. Results: The result showed that the minimum orders increases in rebalancing trade, which reduces the impact of price formations in market. The tracking error occurs when the larger quantity of threshold value reduces the quantity. Then, the markets are changed significantly when the Net Asset Values (NAV) of rebalancing ETF increases. [ABSTRACT FROM AUTHOR]
Additional Information
Copyright of Ekonomia i Prawo is the property of Nicolaus Copernicus University in Torun and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
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