Pelman08
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| Total Posts: 6 |
| Joined: Aug 2019 |
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| 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 . |
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nikol
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| Total Posts: 1120 |
| Joined: Jun 2005 |
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| In ~2003, Rebonato was already decomposing vol term-strike structures into PC's. |
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Pelman08
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| Total Posts: 6 |
| Joined: Aug 2019 |
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| 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 |
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frolloos
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| Total Posts: 120 |
| Joined: Dec 2007 |
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Does this help:
https://www.math.nyu.edu/faculty/avellane/SSRN-id3028910.pdf |
No vanna, no cry |
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fomisha
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| Total Posts: 36 |
| Joined: Jul 2007 |
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| 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. |
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Strange
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| Total Posts: 1648 |
| Joined: Jun 2004 |
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@fomisha "PM me if you want to discuss further."
You do realize that you have no email in your profile?  |
'Progress just means
bad things happen faster.’
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Jurassic
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| Total Posts: 358 |
| Joined: Mar 2018 |
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"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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