Volatility regimes for the VIX index

This article presents a Markov chain framework to characterize the behavior of the CBOE Volatility Index (VIX index). Two possible regimes are considered: high volatility and low volatility. The specification accounts for deviations from normality and the existence of persistence in the evolution of the VIX index. Since the time evolution of the VIX index seems to indicate that its conditional variance is not constant over time, I consider two different versions of the model. In the first one, the variance of the index is a function of the volatility regime, whereas the second version includes an autoregressive conditional heteroskedasticity (ARCH) specification for the conditional variance of the index.

Exploiting the cointrgration between vix and CDS in a credit market timing model

We investigate the cointegration between VIX and CDS indices, and the possibility of exploiting it in an existing credit market timing investment model. We find cointegration over most of the sample period and the leadership of VIX over the CDS in the price discovery process. We present two methods for including cointegration into the model. Both strategies improve the in-sample and out-of-sample model performances, even though out-of-sample results are weaker. We find that in-sample better performances are explained by a stronger cointegration, concluding that in the presence of cointegration our strategies can be profitable in an investment model that considers transaction costs.

VIX as a stock market indicator

The goal of this research was to make an overall sight to VIX and how it can be used as a stock market indicator. Volatility index, often referred as the fear index, measures how much does it cost for investor to protect his/hers S&P 500 position from fluctuations with options. Over the relatively short history of VIX it has succesfull timing coordinator and it has told about the market state adding its own psychological view of the amount of fear and greed.

Is it possible to utilize VIX for a profitable trading strategy of S&P 500 Index?

The goal of this research was to make an overall sight to VIX® and how it can be used as a stock market indicator. Volatility index often referred as the fear index, measures how much it costs for investor to protect his/her S&P 500 position from fluctuations with options. Over the relatively short history of VIX it has been a successful timing coordinator and it has given incremental information about the market state adding its own psychological view of the amount of fear and greed. Correctly utilized VIX information gives a considerable advantage in timing market actions. In this paper we test how VIX works as a leading indicator of broad stock market index such as S&P 500 (SPX). The purpose of this paper is to find a working way to interpret VIX. The various tests are made on time series data ranging from the year 1990 to the year 2010. The 10-day simple moving average strategy gave significant profits from the whole time when VIX data is available. Strategy was able to utilize the increases of SPX in example portfolio value and was able to step aside when SPX was declining. At the times when portfolio was aside of S it was on safety fund like on treasury bills getting an annual yield of 3 percent. On the other side just a static number’s of VIX did not work as indicators in a profit making way.

ViX : una aplicación informática abierta para la visualización y estudio interactivo de la anatomía en 3D.

Monográfico con el título: 'Avances tecnológicos digitales en metodologías de innovación docente en el campo de las Ciencias de la Salud en España'. Resumen basado en el de la publicación

Testando o poder preditivo do VIX: uma aplicação do modelo de erro multiplicativo

O VIX Volatility Index surgiu como uma alternativa no cálculo da volatilidade implícita, visando mitigar alguns problemas encontrados em modelos da família Black-Scholes. Este tipo de volatilidade é tida como a melhor previsora da volatilidade futura, dado que as expectativas dos operadores de opções se encontram embutidas em seus valores. O objetivo deste trabalho é testar se o VIX apresenta maior poder preditivo e informações relevantes não presentes em modelos de séries temporais para variáveis não-negativas, tratadas através do modelo de erro multiplicativo. Os resultados indicam que o VIX apresenta maior poder preditivo em períodos de estabilidade econômica, mas não contém informação relevante frente à real volatilidade. Em períodos de crise econômica o resultado se altera, com o VIX apresentando o mesmo poder explicativo, mas contém informações relevantes no curto prazo.

Habes lector studiosissime, Fancisci Marij Grapaldi opus elegantissimum ea fide eaque diligentia a nobis excussum ut vix erratum offendas ...

Mode of access: Internet.

Gabrielis Putherbei Turonici professione Fontebraldaei, Theotimus, sive de tollendis & expungendis malis libris, iis praecipue, quos vix incolumi fide ac pietate plerique legere queant, libri tres, multa complectentes, quae tum ad mores, tum ad religionem faciant, & lectorem oppido iuuent, cuiuscunque tandem fidei illum nacti erunt

Mode of access: Internet.

Volatilidade implícita: estudo de caso

Mestrado em Controlo de Gestão dos Negócios

Quantiles of the Realized Stock-Bond Correlation

Abstract: We scrutinize the realized stock-bond correlation based upon high frequency returns. We use quantile regressions to pin down the systematic variation of the extreme tails over their economic determinants. The correlation dependence behaves differently when the correlation is large negative and large positive. The important explanatory variables at the extreme low quantile are the short rate, the yield spread, and the volatility index. At the extreme high quantile the bond market liquidity is also important. The empirical fi…ndings are only partially robust to using less precise measures of the stock-bond correlation. The results are not caused by the recent …financial crisis. Keywords: Extreme returns; Financial crisis; Realized stock-bond correlation; Quantile regressions; VIX. JEL Classifi…cations: C22; G01; G11; G12

Smooth Transition Patterns in the Realized Stock- Bond Correlation

Abstract: We analyze the realized stock-bond correlation. Gradual transitions between negative and positive stock-bond correlation is accommodated by the smooth transition regression (STR) model. The changes in regime are de…ned by economic and …financial transition variables. Both in sample and out-of- sample results document that STR models with multiple transition variables outperform STR models with a single transition variable. The most important transition variables are the short rate, the yield spread, and the VIX volatility index. Keywords: realized correlation; smooth transition regressions; stock-bond correlation; VIX index JEL Classifi…cations: C22; G11; G12; G17

An efficient use of virtualization in grid/cloud environments

Grid is a hardware and software infrastructure that provides dependable, consistent, pervasive, and inexpensive access to high-end computational resources. Grid enables access to the resources but it does not guarantee any quality of service. Moreover, Grid does not provide performance isolation; job of one user can influence the performance of other user’s job. The other problem with Grid is that the users of Grid belong to scientific community and the jobs require specific and customized software environment. Providing the perfect environment to the user is very difficult in Grid for its dispersed and heterogeneous nature. Though, Cloud computing provide full customization and control, but there is no simple procedure available to submit user jobs as in Grid. The Grid computing can provide customized resources and performance to the user using virtualization. A virtual machine can join the Grid as an execution node. The virtual machine can also be submitted as a job with user jobs inside. Where the first method gives quality of service and performance isolation, the second method also provides customization and administration in addition. In this thesis, a solution is proposed to enable virtual machine reuse which will provide performance isolation with customization and administration. The same virtual machine can be used for several jobs. In the proposed solution customized virtual machines join the Grid pool on user request. Proposed solution describes two scenarios to achieve this goal. In first scenario, user submits their customized virtual machine as a job. The virtual machine joins the Grid pool when it is powered on. In the second scenario, user customized virtual machines are preconfigured in the execution system. These virtual machines join the Grid pool on user request. Condor and VMware server is used to deploy and test the scenarios. Condor supports virtual machine jobs. The scenario 1 is deployed using Condor VM universe. The second scenario uses VMware-VIX API for scripting powering on and powering off of the remote virtual machines. The experimental results shows that as scenario 2 does not need to transfer the virtual machine image, the virtual machine image becomes live on pool more faster. In scenario 1, the virtual machine runs as a condor job, so it easy to administrate the virtual machine. The only pitfall in scenario 1 is the network traffic.