This is a summary of links featured on Quantocracy on Sunday, 04/29/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Economics, finance and pseudoscience [Mathematical Investor]Bloomberg columnist Mohamed El-Erian recently lamented that the discipline of economics is divorced from real-world relevance and has lost credibility. Among the problems he mentions currently afflicting the field are the following: The proliferation of simplifying assumptions that lead to an overreliance on excessively abstract estimation techniques and approaches. Insufficient
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VIX Mean Reversion After a Volatility Spike [Relative Value Arbitrage]In a previous post, we showed that the spot volatility index, VIX, has a strong mean reverting tendency. In this follow-up installment were going to further investigate the mean reverting properties of the VIX. Our primary goal is to use this study in order to aid options traders in positioning and/or hedging their portfolios. To do so, we first calculate the returns of the VIX index. We then