k*l
发帖数: 230 | 1 Worried about VIX spike? here is an excerpt from a financial research
paper.
Giot (2005) tests if high levels of VIX indicate oversold stock markets by
dividing the VIX price history into 21 equally spaced rolling percentiles
and examining the returns on the S&P 100 for various future holding
periods up to 60 days for each of these 21 percentiles. He finds that for
very high levels of VIX, future returns are always positive and for very
low levels of VIX, future returns are always negative. His |
j****a
发帖数: 66 | 2 Very interesting and reasonable. Buying when you see blood on the street. |
b******r
发帖数: 16603 | |
d****7
发帖数: 2241 | 4 what is VIX? Thanks.
【在 k*l 的大作中提到】
: Worried about VIX spike? here is an excerpt from a financial research
: paper.
: Giot (2005) tests if high levels of VIX indicate oversold stock markets by
: dividing the VIX price history into 21 equally spaced rolling percentiles
: and examining the returns on the S&P 100 for various future holding
: periods up to 60 days for each of these 21 percentiles. He finds that for
: very high levels of VIX, future returns are always positive and for very
: low levels of VIX, future returns are always negative. His
|
l*******r
发帖数: 3799 | 5 This kind of strategies will be killed in extreme conditions, like Fall,
2008. |
b******r
发帖数: 16603 | 6 嗯，40是pre-Fall 2008的buy signal，
之后就没有了。
【在 l*******r 的大作中提到】
: This kind of strategies will be killed in extreme conditions, like Fall,
: 2008.
|
l*******r
发帖数: 3799 | 7 But generally, short-term contrarian strategy based on VIX is still very
profitable.
【在 b******r 的大作中提到】
: 嗯，40是pre-Fall 2008的buy signal，
: 之后就没有了。
|
b******r
发帖数: 16603 | 8 所以我每天来叫VIX，哈哈。
【在 l*******r 的大作中提到】
: But generally, short-term contrarian strategy based on VIX is still very
: profitable.
|
b******r
发帖数: 16603 | 9 http://finance.yahoo.com/q?s=^VIX
【在 d****7 的大作中提到】
: what is VIX? Thanks.
|
