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The Engineering Economist
A Journal Devoted to the Problems of Capital Investment
Volume 53, 2008 - Issue 3: Special Issue on Financial Engineering
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Original Articles

A Hybrid Derivative Trading System Based on Volatility and Return Forecasting

David Enke Department of Finance and Operations Management, University of Tulsa, Tulsa, Oklahoma, USA
&
Sunisa Amornwattana Risk Management, Thai Military Bank, Bangkok, Thailand
Pages 259-292 | Published online: 22 Aug 2008

Citations (6)

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Read on this site (1)

Youngmin Kim & David Enke. (2018) A dynamic target volatility strategy for asset allocation using artificial neural networks. The Engineering Economist 63:4, pages 273-290.
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Articles from other publishers (5)

Tan Meilisa Tansil, Leonard P. Rusli & Eka Budiarto. (2022) Performance Evaluation of Systematic Option Trading Strategies Using Entry and Exit Points Predicted by Machine Learning. Performance Evaluation of Systematic Option Trading Strategies Using Entry and Exit Points Predicted by Machine Learning.
Wen-Chyuan Chiang, David Enke, Tong Wu & Renzhong Wang. (2016) An adaptive stock index trading decision support system. Expert Systems with Applications 59, pages 195-207.
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Youngmin Kim & David Enke. (2016) Using Neural Networks to Forecast Volatility for an Asset Allocation Strategy Based on the Target Volatility. Procedia Computer Science 95, pages 281-286.
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Ling-Feng Hsieh, Su-Chen Hsieh & Pei-Hao Tai. (2011) Enhanced stock price variation prediction via DOE and BPNN-based optimization. Expert Systems with Applications.
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Moid U. Ahmad & Saif Siddiqui. (2010) A Comparative Study of Indian Indices with a Focus on Shariah Indices. Asia Pacific Business Review 6:3, pages 61-73.
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