Faculty Advisor
Koutmos, Dimitrios
Abstract
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 Exchanges 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.
Publisher
Worcester Polytechnic Institute
Date Accepted
April 2018
Project Type
Interactive Qualifying Project
Copyright Statement
All authors have granted to WPI a nonexclusive royalty-free license to distribute copies of the work, subject to other agreements. Copyright is held by the author or authors, with all rights reserved, unless otherwise noted.
Accessibility
Unrestricted
Advisor Department
Business