Chrilly Donninger

Nimzowerkstatt OEG

Chief Scientist

Altmelon 110

Arbesbach, Lower-Austria A-3925

Austria

http://www.godotfinance.com

SCHOLARLY PAPERS

33

DOWNLOADS
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SSRN RANKINGS

Top 2,703

in Total Papers Downloads

13,077

CITATIONS
Rank 29,704

SSRN RANKINGS

Top 29,704

in Total Papers Citations

19

Scholarly Papers (33)

1.

VIX Futures Basis Trading: The Calvados-Strategy 2.0

Sibyl-Working-Paper, Jan 2014
Number of pages: 16 Posted: 16 Jan 2014 Last Revised: 21 Jan 2014
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 2,617 (4,553)
Citation 2

Abstract:

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VIX Futures Trading

2.

How to Beat the Market with the Implied Volatility Term Structure: The HeroRATs Strategy

Number of pages: 8 Posted: 19 Dec 2013
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 1,358 (13,500)
Citation 6

Abstract:

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Implied Volatility Term Structure, Market Regime Classification

3.

Forecasting the VIX to Improve VIX-Derivatives Trading

Sibyl-Working-Paper, April 2016
Number of pages: 7 Posted: 28 Apr 2016
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 1,271 (14,938)

Abstract:

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VIX Forecasts, VIX-Options, VIX-Futures

4.

Improving the S&P Dynamic VIX Futures Index: The Mojito 3.0 Strategy

Number of pages: 9 Posted: 19 Dec 2013
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 1,104 (18,563)
Citation 2

Abstract:

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Implied Volatility Term Structure, VIX ETNs, Market Regimes Classification

5.

An Investigation of Simple Intraday Trading Strategies

Number of pages: 10 Posted: 29 Aug 2014
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 936 (23,666)
Citation 1

Abstract:

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6.

The Poverty of Academic Finance Research: Spread Trading Strategies in the Crude Oil Futures Market

Number of pages: 13 Posted: 13 Jun 2015
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 876 (26,049)
Citation 1

Abstract:

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7.

Modeling and Trading the VIX and VSTOXX with Futures, Options and the VXX

Number of pages: 28 Posted: 23 May 2015
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 855 (26,952)

Abstract:

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8.

Is Daily Pairs Trading of ETF-Stocks Profitable?

Number of pages: 9 Posted: 01 Aug 2016
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 583 (45,317)
Citation 3

Abstract:

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Pairs Trading, ETF, Zero-Crossings

9.

Towards the Perfect Football Betting Bot: A First Preliminary Report of Zoccer

Number of pages: 19 Posted: 21 Sep 2014
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 265 (114,430)
Citation 1

Abstract:

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10.

Adaptive Covered Call Writing for NASDAQ Stocks: The Turtle Strategy

Number of pages: 10 Posted: 13 May 2014
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 261 (116,253)
Citation 2

Abstract:

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11.

Trading the Patience of Mrs. Yellen. A Short Vix-Futures Strategy for FOMC Announcement Days.

Number of pages: 4 Posted: 03 Jan 2015 Last Revised: 06 Jan 2015
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 259 (117,185)

Abstract:

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12.

Lovers by Night, Strangers by Day? An Investigation of Simple Overnight Trading Strategies

Number of pages: 7 Posted: 13 Sep 2014
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 231 (131,589)

Abstract:

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13.

Modeling, Forecasting and Trading the Crude Oil Term Structure.

Number of pages: 10 Posted: 27 Nov 2016
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 215 (141,077)

Abstract:

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crude-oil futures trading, term-structure forecasting, Nelson-Siegel model, roll-yield

14.

Chrilly's Toolbox of Energy Futures Trading

Number of pages: 27 Posted: 27 Aug 2015
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 202 (149,586)

Abstract:

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15.

Adaptive Put Writing for the S&P-500 Index and NASDAQ Stocks: The Austrian and Doberman Pinscher Strategy

Number of pages: 9 Posted: 25 May 2014
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 200 (150,957)
Citation 1

Abstract:

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16.

Trading Bull- and Bear-Markets with a Hidden Markov Model.

Number of pages: 7 Posted: 24 Apr 2017
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 192 (156,867)

Abstract:

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17.

Harvesting the Downside Beta Premium with the Implied Volatility Term Structure: The Cinderella Strategy

Number of pages: 8 Posted: 25 Jan 2014
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 176 (169,673)

Abstract:

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Downside Beta Premium, Implied Volatility Term Structure

18.

Building a Portfolio of ETFs to Exploit Negative Autocorrelation.

Number of pages: 6 Posted: 13 Sep 2016
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 170 (174,930)

Abstract:

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Fund of Funds, Smart-Beta ETF, Dynamic Portfolio, Negative Autocorrelation

19.

The Dynamic Hedging of Weekly S&P-500-Futures Options. A Cashbot Case Study

Number of pages: 11 Posted: 22 Jan 2016
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 168 (176,726)

Abstract:

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Weekly S&P-500 Options, Dynamic Hedging

20.

Hedging Adaptive Put Writing with VIX Futures: The Affenpinscher Strategy

Number of pages: 8 Posted: 30 May 2014
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 159 (185,222)

Abstract:

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21.

Improving Smart Beta ETFs with Smart Beta. Revision 1.

Number of pages: 13 Posted: 17 Aug 2016
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 125 (224,878)

Abstract:

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Smart-Beta, Weighting-Schemes, Momentum, Minimum Volatility, Mean-Reversion, Idiosncratic Volatility

22.

Timing the Tail-Risk-Protection of the Spy with VIX-Futures by a Hidden Markov Model. The Wool-Milk-Sow Strategy

Number of pages: 5 Posted: 07 Apr 2017
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 114 (240,730)

Abstract:

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23.

Plain Vanilla SPX-Options Hedging: The Effect of Smile-Adjustments and the Lark versus Owl Question

Number of pages: 18 Posted: 18 Feb 2014 Last Revised: 26 Feb 2014
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 113 (242,220)
Citation 1

Abstract:

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24.

Simple and Efficient Portfolio Construction with Implicit Covariance Estimation: The Ant Strategy

Number of pages: 10 Posted: 05 Apr 2014
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 110 (246,899)

Abstract:

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25.

Smarter than the Options-Market? A Real-Measure GARCH Option Pricing Model with Volatility Regime Simulation

Number of pages: 14 Posted: 20 Mar 2014
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 109 (248,554)

Abstract:

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26.

Improving Smart Beta ETFs with Smart Beta

Number of pages: 11 Posted: 10 Aug 2016
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 106 (253,452)

Abstract:

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Smart-Beta, Weighting-Schemes, Momentum, Minimum Volatility, Mean-Reversion

27.

An Empirical Investigation of Optimal Energy Futures Rolling.

Number of pages: 14 Posted: 14 Jul 2015
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 77 (310,493)

Abstract:

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28.

Pricing Options with the Stochastic Volatility Regime Simulation for GARCH, HAR GARCH-VIX and VIX Models

Number of pages: 14 Posted: 01 Aug 2016
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 74 (317,714)

Abstract:

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29.

An Empirical Investigation of Optimal Crude Oil Futures Rolling

Number of pages: 11 Posted: 08 Jul 2015
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 74 (317,714)

Abstract:

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30.

A Statistical Comparison of Body-Weight and Asset-Prices

Number of pages: 8 Posted: 19 Sep 2016
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 49 (389,750)

Abstract:

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Body-Weight, Asset Prices, Seasonal-Pattern, Recreational-Statistics

31.

Measuring the Influence of German Members of Parliament on Twitter: The Vanellus-Twitter-Index VaTI

Number of pages: 6 Posted: 17 Aug 2018
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 13 (560,521)

Abstract:

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Twitter, Influence, German MdB

32.
Downloads 12 (566,872)

Abstract:

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Twitter, automated classifications of users, Political orientation

33.

Eagle-Eye: Extracting Archery Hit-Patterns From Mobile Images to Improve the Training Process

Number of pages: 14 Posted: 06 Aug 2019
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 3 (626,678)

Abstract:

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Archery, Image-processing, Object-recognition