Neural networks and arbitrage in the VIX: A deep learning approach for the VIX

The Chicago Board Options Exchange Volatility Index (VIX) is considered by many market participants as a common measure of market risk and investors’ sentiment, representing the market’s expectation of the 30-day-ahead looking implied volatility obtained from real-time prices of options on the S&...

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Detalles Bibliográficos
Autores principales: Osterrieder, Joerg, Kucharczyk, Daniel, Rudolf, Silas, Wittwer, Daniel
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2020
Materias:
Original Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7659419/
https://www.ncbi.nlm.nih.gov/pubmed/33195998
http://dx.doi.org/10.1007/s42521-020-00026-y

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7659419/
https://www.ncbi.nlm.nih.gov/pubmed/33195998
http://dx.doi.org/10.1007/s42521-020-00026-y

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