Quant Research Ideas to Test for ETF Option and Equity Markets in China and Japan
27 Pages Posted: 30 Sep 2019
Date Written: May 31, 2019
We present three in-detail quantitative trading ideas for equity markets in China and Japan. First idea discusses the emerging 50 ETF option markets in China and the feasibility of a covered call strategy. Second idea evaluates the opportunities implied by the ETF purchase program of Bank of Japan. Third idea demonstrates the predicting effectiveness of Chinese short selling and margin buying data with feature selection. Limitations and concerns for each idea is discussed separately. With a valuation model established in the first section, we are able to value each trading idea at 1.5M, 0.46M and 0.33M USD respectively, based on derived estimates of strategy performances and investment characteristics.
Keywords: Quantitative research, 50 ETF options, Quantitative easing, Short selling
JEL Classification: G11, G15, G17, G18
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