This study consists of two major sections: a background analysis of stocks in the biotech and pharmaceutical industry, and the creation and evaluation of trading strategies. The first section investigates some technical aspects of historical stock data as well as their correlation with investor sentiment. This section aims to answer how the Chicago Board Options Exchange’s volatility index (VIX) can be used to predict stock movement. The second section covers the creation and evaluation of trading strategies based on the VIX. Software is developed that dynamically creates different trading methods through simulation. These methods are then tested over a three month period. Ultimately, the goal of this study is to assess the value of the VIX as a tool for stock prediction.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Carter, Nathaniel Harrison

Subject

• Industry

Publisher

• Worcester Polytechnic Institute

Identifier

• E-project-042118-202442

Keyword

• Stock exchanges
• Computer simulation

Advisor

• Koutmos, Dimitrios

Year

• 2018

Date created

• 2018-04-21

Resource type

• Interactive Qualifying Project

Rights statement

• In Copyright