A sparsity constrained dynamic trading framework to identify stochastic arbitrage opportunities with market index options
| Field | Value | Language |
| dc.contributor.author | Weeks, Benjamin | |
| dc.date.accessioned | 2026-03-09T02:19:41Z | |
| dc.date.available | 2026-03-09T02:19:41Z | |
| dc.date.issued | 2026-03-09 | |
| dc.identifier.uri | https://hdl.handle.net/2123/34966 | |
| dc.description.abstract | This paper formulates a mixed-integer linear program that applies sequential stochastic dominance in a dynamic, daily-rebalanced trading framework to identify stochastic arbitrage opportunities with options written on the S&P 500 index. This paper finds that a dynamic trading framework succeeds at identifying stochastic arbitrage opportunities more frequently than static trading frameworks explored in recent research, but both strategies invariably return payoffs inferior to the market. This paper shows that the application of sparsity constraints to both static and dynamic trading strategies yields improved performance. | en |
| dc.language.iso | en | en |
| dc.rights | Other | en |
| dc.subject | Financial Econometrics | en |
| dc.subject | Linear programming | en |
| dc.subject | Stochastic arbitrage | en |
| dc.title | A sparsity constrained dynamic trading framework to identify stochastic arbitrage opportunities with market index options | en |
| dc.type | Thesis | en |
| dc.type.thesis | Honours | en |
| dc.rights.other | The author retains copyright of this thesis. It may only be used for the purposes of research and study. It must not be used for any other purposes and may not be transmitted or shared with others without prior permission. | en |
| usyd.faculty | SeS faculties schools::Faculty of Arts and Social Sciences::School of Economics | en |
| workflow.metadata.only | No | en |
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