This is a summary of links featured on Quantocracy on Friday, 01/12/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Replicating Volatiltiy ETN Returns From CBOE Futures [QuantStrat TradeR]This post will demonstrate how to replicate the volatility ETNs (XIV, VXX, ZIV, VXZ) from CBOE futures, thereby allowing any individual to create synthetic ETF returns from before their inception, free of cost. So, before I get to the actual algorithm, it depends on an update to the term structure algorithm I shared some months back. In that algorithm, mistakenly (or for the purpose of