Pelman08
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| Total Posts: 4 |
| 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: 909 |
| 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: 4 |
| 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: 97 |
| Joined: Dec 2007 |
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Does this help:
https://www.math.nyu.edu/faculty/avellane/SSRN-id3028910.pdf |
One man's Theta is another man's Gamma - Me |
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