Results 111 to 120 of about 3,614,788 (171)
, 2006 VIX futures are exchange-traded contracts on a future volatility index (VIX) level derived from a basket of S&P 500 (SPX) stock index options. The authors posit a stochastic variance model of VIX time evolution, and develop an expression for VIX futures.
Zhang, JE, Zhu, Y
core +1 more source
IEEE AccessDrawing on more than 3.77 million (3,778,954) U.S. Consumer Financial Protection Bureau (CFPB) complaints filed between 2015 and 2026, this study examines the dynamic linkage between the Chicago Board Options Exchange Market Volatility Index (VIX), a ...
Desheng Li, Wenzao Shi
doaj +1 more source
Speed Bump and Stock Market Quality: Evidence From NYSE American
Financial Management, Volume 55, Issue 3, Page 387-407, Fall 2026.ABSTRACT Should trading speed of high‐frequency traders be regulated? Using the data from the New York Stock Exchange American, this paper examines the impact of a speed bump on market liquidity and price discovery. Our results indicate that the use of a speed bump can lower the costs of adverse selection through reducing informed trading.
Bo Liu, Ke Xu
wiley +1 more source
Hedging hedge fund portfolio returns with Vix Index
, 2008 Purpose of this thesis is to compare the relationship of hedge fund portfolio and Vix index as well as to explore whether Vix index allocation is able to hedge hedge fund portfolio from downside movements in the negative months of hedge fund portfolio ...
Kärkkäinen, Heidi
core
A Comprehensive Revisit to the Safe‐Haven Assets Literature
Journal of Economic Surveys, Volume 40, Issue 4, Page 1999-2025, September 2026.ABSTRACT A large number of studies examine the safe‐haven characteristics of different asset classes. However, this paper addresses a lack of systematic literature reviews and bibliometric analyses with a sound theoretical viewpoint the safe‐haven assets literature by focusing on 1305 studies published in top‐tier journals during 2013–2026 from the ...
Javed Bin Kamal +3 more
wiley +1 more source
The Informational Association between the S&P 500 Index and VIX Options Markets
, 2013 [[abstract]]We set out in this study to investigate the informational association between the S&P 500 index and VIX options markets by examining the relationship between trading activity in VIX options and changes in the VIX in a high-frequency framework.
Kao, Dian-Xuan;Tsai, Wei-Che;Wang, Yaw-Huei
core
Efficient implementation of portfolio strategies involving cryptocurrencies and VIX INDEX and Gold
, 2022 This research mainly explores the characteristics of different strategies and whether VIX INDEX positively influences the investment portfolio in any period. Our portfolio has six significant cryptocurrencies, VIX INDEX and gold.
Li, Qiushi, Cui, Jiahao, Pen, Yuezhi
core
"A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options" [PDF]
In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated formula to calculate expected volatility.
Michael McAleer +1 more
core +2 more sources
An empirical study on price discovery between VIX futures and VIX exchange trading products
, 2018 碩士本研究透過Lien and Shrestha (2009) 所提出的修正後資訊比例模型衡量不同市場對於價格發現的貢獻程度來探討2013年至2016年VIX期貨與VIX ETPs(VXX、VIXY)之間價格發現能力的強弱。在研究期間中，VECM顯示彼此間存在雙向的回饋機制，VXX領先VIX期貨，VIXY領先VIX期貨，VXX則領先VIXY；修正後資訊比例模型亦顯示VXX在價格發現中具有較強的主導地位。在迴歸分析中，發現在市場上波動程度增加時，反而會使VIX期貨之價格發現能力提升 ...
葉宗翰;Yeh, Tsung-Han
core