Ardia, David (2003): Fear Trading.
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Our trading strategy is inspired from the paper "implied volatility indices as leading indicators of stock index returns?", Giot (2002,). It uses stylized facts observed in stock markets: the so called "leverage effect", the clustering and the mean-reverting behaviour of the implied volatility. Based on S&P100 and VIX data, we show that abnormally high levels of volatility can be used as a trading signals for long traders. A bootstrap procedure confirms the significant returns for the 1986-2003 period.
|Item Type:||MPRA Paper|
|Original Title:||Fear Trading|
|Keywords:||VIX, trading strategy|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C29 - Other
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods
|Depositing User:||David Ardia|
|Date Deposited:||25. Jan 2009 05:41|
|Last Modified:||13. Feb 2013 12:01|
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