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Pelman08


Total Posts: 6
Joined: Aug 2019
 
Posted: 2019-10-20 19:16
I have been using principle component analysis to trade the yield curve for a while now however I would like to know ,jow can I use principle component analysis to trade the vix term structure .

nikol


Total Posts: 977
Joined: Jun 2005
 
Posted: 2019-10-20 22:06
In ~2003, Rebonato was already decomposing vol term-strike structures into PC's.

Pelman08


Total Posts: 6
Joined: Aug 2019
 
Posted: 2019-10-21 00:14
thank you for replying to my message . Do u think you can explain to me how Rebonato used PCA to decompose and trade vol her-strike structures or cite me a paper on how they did it

frolloos


Total Posts: 104
Joined: Dec 2007
 
Posted: 2019-10-24 19:01
Does this help:

https://www.math.nyu.edu/faculty/avellane/SSRN-id3028910.pdf

One man's Theta is another man's Gamma - Me

fomisha


Total Posts: 36
Joined: Jul 2007
 
Posted: 2020-02-10 20:08
In VIX futures the first factor is the market factor. Unless you can predict SPX you should take that factor out before doing any other analysis. PM me if you want to discuss further.

Strange


Total Posts: 1634
Joined: Jun 2004
 
Posted: 2020-02-11 04:24
@fomisha "PM me if you want to discuss further."

You do realize that you have no email in your profile? Tongue out

'Progress just means bad things happen faster.’

Jurassic


Total Posts: 323
Joined: Mar 2018
 
Posted: 2020-02-11 10:39
"Does this help:

https://www.math.nyu.edu/faculty/avellane/SSRN-id3028910.pdf"

Why do this paper consider Ln(V_t) instead of V_t (potential stupid question)?
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