Category Archives: Uncategorized

Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets

According to Marketwatch, Goldman Sachs strategists just issued a warning regarding the volatility index, VIX, Goldman analysts Rocky Fishman and John Marshall said that the VIX, which uses options bets on the S&P 500 to reflect expected volatility over the … Continue reading

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Overnight Index Swap Discounting

The overnight index swap (OIS) has come into the spotlight recently, due to the widening of the Libor-OIS spread. For example, the Economist recently reported: WATCHING financial markets can be like watching a horror film. A character walks into the … Continue reading

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Can a Horse Racing System be Applied to the Stock Markets?

Bill Benter is one of the most profitable professional gamblers in the world. According to Wikipedia William Benter was born and raised in Pittsburgh, Pennsylvania.[2] As he grew up, he wanted to use his mathematical talents to make a profit … Continue reading

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VIX Mean Reversion After a Volatility Spike

In a previous post, we showed that the spot volatility index, VIX, has a strong mean reverting tendency. In this follow-up installment we’re going to further investigate the mean reverting properties of the VIX. Our primary goal is to use … Continue reading

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Risks Can Only Be Managed, But Cannot Be Eliminated

The violent sell off in the equity markets during the last 2 months reminds us of the importance of risk management. Some traders, investors wanted to eliminate the risks completely.  However, we note that risks cannot be eliminated, only managed. … Continue reading

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A Simple System For Hedging Long Portfolios

In this post, we are going to examine a trading system with the goal of using it as a hedge for long equity exposure. To this end, we test a simple, short-only momentum system. The rules are as follows, Short … Continue reading

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Black Swan and Volatility of Volatility

We have written many blog posts about the increase in volatility of volatility. See, for example Is Volatility of Volatility Increasing? What Caused the Increase in Volatility of Volatility? Similarly, last week Bloomberg reported, The sudden rise in volatility in … Continue reading

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