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 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.

Publisher

Worcester Polytechnic Institute

Date Accepted

April 2018

Project Type

Interactive Qualifying Project

Accessibility

Unrestricted

Advisor Department

Business

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