This is a summary of links featured on Quantocracy on Wednesday, 05/25/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Forecasting the VIX to Improve VIX-Derivatives Trading [Quantpedia]Konstantinidi et. al. state in their broad survey of Volatility-Index forecasting: "The question whether the dynamics of implied volatility indices can be predicted has received little attention". The overall result of this and the quoted papers is: The VIX is too a very limited extend (R2 is typically 0.01) predictable, but the effect is economically not significant. This paper confirms
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ConnorsRSI Analysis [Alvarez Quant Trading]A couple posts ago, I did the RSI Analysis. This post will focus on ConnorsRSI which I created while working for Larry Connors. When creating the indicator, the focus was on short-term mean-reversion results. We will look at that here but also how does it handle longer-term holds. Since I did not test this when I originally did the work, I was looking forward to seeing the results. ConnorsRSI