This is a summary of links featured on Quantocracy on Sunday, 11/28/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Should We Never Invest in Individual Stocks? [Alpha Architect]Hendrik Bessembinder published a fascinating paper, which finds that nearly all publicly traded stocks in the U.S. if held as buy and hold investments underperform Treasury bills. This finding is incredibly surprising and interesting. Of course, when bold claims are made, they tend to attract a lot of attention. For example, Alpha Architect has covered the fascinating Bessembinder research
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Action After Strong Friday Selloffs [Quantifiable Edges]Todays study is one of several that will be appearing in the Quantifiable Edges Subscriber Letter in a few hours. Quantifiable Edges Black Friday sale has been extended through Cyber-Monday. Act now to take advantage. After Monday its gone. Black Friday was a tough one for the market, with the major indices all closing down over 2%, and the VIX spiking over 10 points to close at 28.62. Big
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Research Review | 26 November 2021 | Bitcoin and Crypto [Capital Spectator]We present a theoretical and empirical methodology that reflects the Cryptocurrency version of VIX, which we name it as CVIX (Crypto VIX), and captures the future 30 days forward Crypto risk (fear). Our framework is built on idiosyncratic and systematic Crypto risk, and is not based on the option implied volatility model, that developed by the CBOE for the S&P Volatility Index VIX. For back
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How to construct a bond volatility index and extract market information [SR SV]Volatility indices, based upon the methodology of the Cboe volatility index (VIX), serve as measures of near-term market uncertainty across asset classes. They are constructed from out-of-the-money put and call premia using variance swap pricing. Volatility indices for fixed income markets are of particular importance, as they allow inferring market expectations about discount factors and credit