Chrilly Donninger

Nimzowerkstatt OEG

Chief Scientist

Altmelon 110

Arbesbach, Lower-Austria A-3925

Austria

http://www.godotfinance.com

SCHOLARLY PAPERS

32

DOWNLOADS
Rank 2,747

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Top 2,747

in Total Papers Downloads

12,743

CITATIONS

1

Scholarly Papers (32)

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 2,563 (4,609)

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 1,331 (13,667)

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 1,249 (15,068)

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 1,089 (18,584)

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 901 (24,581)

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 841 (27,132)

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 835 (27,406)

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 565 (46,340)

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 257 (116,179)

Abstract:

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10.

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 255 (117,128)

Abstract:

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11.

Adaptive Covered Call Writing for NASDAQ Stocks: The Turtle Strategy

Number of pages: 10 Posted: 13 May 2014
Chrilly Donninger
Nimzowerkstatt OEG
Downloads 251 (119,077)
Citation 1

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 228 (131,124)

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 206 (144,457)

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 196 (151,332)

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 195 (152,065)

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 177 (165,960)

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 172 (170,297)

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 166 (175,657)

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 164 (177,439)

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 155 (186,058)

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 124 (222,498)

Abstract:

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

22.

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 110 (242,894)

Abstract:

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23.

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 108 (246,109)

Abstract:

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24.

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 107 (247,720)

Abstract:

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25.

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 106 (249,356)

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 103 (254,341)

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 75 (309,955)

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 73 (314,858)

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 73 (314,858)

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 47 (389,870)

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 11 (561,652)

Abstract:

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Twitter, Influence, German MdB

32.
Downloads 10 (567,581)

Abstract:

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Twitter, automated classifications of users, Political orientation