+7 495 989 9610, 9am6pm (GMT+3), Monday – Friday
ИД «Финансы и кредит»

JOURNALS

  

FOR AUTHORS

  

SUBSCRIBE

    
Finance and Credit
 

A pre-predictive analysis of trading volume in the options market

Vol. 27, Iss. 9, SEPTEMBER 2021

Received: 10 May 2021

Received in revised form: 24 May 2021

Accepted: 7 July 2021

Available online: 30 September 2021

Subject Heading: Securities market

JEL Classification: C19, G17

Pages: 1962–1979

https://doi.org/10.24891/fc.27.9.1962

Anastasiya O. GOTFRID Peter the Great St. Petersburg Polytechnic University, St. Petersburg, Russian Federation
anastassiya.18.97@gmail.ru

ORCID id: not available

Lyudmila A. GUZIKOVA Peter the Great St. Petersburg Polytechnic University, St. Petersburg, Russian Federation
guzikova@mail.ruu

https://orcid.org/0000-0002-0925-1565

Subject. This article examines the relationship between the three indicators of the derivatives market, namely price, trading volume, and open interest.
Objectives. The article aims to characterize the dynamics of option trading volumes in terms of regularity and predictability of changes.
Methods. For the study, we used general scientific methods.
Results. The article substantiates the expediency of using fractal analysis methods to identify the stability of market trends, describes approaches to the classification of options, on the basis of which the range of options traded on the Moscow Exchange is characterized, and conducts a pre-predictive analysis of the time series of trading volume.
Relevance. The results of the study can be useful to persons studying financial markets, market analysts and developers of option contracts.

Keywords: options contract, hedging, speculative operations, option price, trading volume

References:

  1. Tregub I.V. [Modeling of the price dynamics of exchange instruments on the Russian stock market by methods of technical analysis]. Lesnoi vestnik = Forestry Bulletin, 2005, no. 3, pp. 156–170. URL: Link (In Russ.)
  2. Mandelbrot B. Fraktal'naya geometriya prirody [The Fractal Geometry of Nature]. Moscow, Institut komp'yuternykh issledovanii Publ., 2002, 656 p.
  3. Crownover R.M. Fraktaly i khaos v dinamicheskikh sistemakh. Osnovy teorii [Introduction to Fractals and Chaos]. Moscow, Postmarket Publ., 2000, 352 p.
  4. Sandryukova E.A., Dubinina E.E. [The application of elements of the theory of fractals in the study of economic processes]. Vestnik ekonomicheskoi bezopasnosti = Vestnik of Economic Security, 2017, no. 4, pp. 349–352. URL: Link (In Russ.)
  5. Guzikova L.A., Molodezhev N.M. [Experience in fractal analysis of Russian companies' share prices]. Sovremennye aspekty ekonomiki, 2020, no. 5-2, pp. 100–112. (In Russ.)
  6. Simonov P.M., Garafutdinov R.V. [Modeling and forecasting of financial instruments dynamics using econometrics models and fractal analysis]. Vestnik Permskogo universiteta. Seriya: Ekonomika = Perm University Herald. Economy, 2019, vol. 14, no. 2, pp. 268–288. URL: Link (In Russ.)
  7. Afanas'eva A.A. [Research of the dynamics of financial markets based on the Hurst exponent]. Molodoi uchenyi = Young Scientist, 2020, no. 23, pp. 7–10. URL: Link (In Russ.)
  8. Burlakov V.V., Dement'eva E.M., Dzyurdzya O.A. [Fractal analysis as a method for predicting the dynamics of the enterprises securities value based on their hidden innovative potential]. Vestnik RGGU: Seriya: Ekonomika. Upravlenie. Pravo = RSUH/RGGU BULLETIN. Series: Economics. Management. Law, 2020, no. 3, pp. 87–98. (In Russ.) URL: Link
  9. Kirichenko L.O. [Comparative analysis of the statistical properties of Hurst parameter estimators]. Vestnik Natsional'nogo tekhnicheskogo universiteta Khar'kovskii politekhnicheskii institut. Seriya: Informatika i modelirovanie = Herald of National Technical University "KhPI". Series: Informatics and Modeling, 2010, no. 21, pp. 88–94. URL: Link (In Russ.)
  10. Amosov O.S., Muller N.V. [The application the fractal and wavelet analysis methods to mathematical and numerical modeling of time series]. Internet-zhurnal Naukovedenie, 2014, no. 3, pp. 89. (In Russ.) URL: Link
  11. Hull J.C. Optsiony, f'yuchersy i drugie proizvodnye finansovye instrumenty [Options, Futures and Other Derivative Financial Instruments]. Moscow, Vil'yams Publ., 2019, 1072 p.
  12. Burenin A.N. Forvardy, f'yuchersy, optsiony, ekzoticheskie i pogodnye proizvodnye [Forwards, futures, options, exotic and weather derivatives]. Moscow, NTO im. akademika S.I. Vavilova Publ., 2005, 533 p.
  13. Murphy J.J. Tekhnicheskii analiz f'yuchersnykh rynkov: teoriya i praktika [Technical Analysis of the Futures Markets:A Comprehensive Guide to Trading Methods and Applications]. Moscow, Al'pina Pablisher Publ., 2020, 610 p.

View all articles of issue

 

ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

Journal current issue

Vol. 27, Iss. 9
September 2021

Archive