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Stocks & Commodities V. 33:05 (2628): Predicting The VIX By Reordering Data by Stephen Butts
Stocks & Commodities V. 33:05 (2628): Predicting The VIX By Reordering Data by Stephen Butts
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Predicting The VIX By Reordering Data by Stephen Butts
The Road Ahead
In recent years, the CBOE Volatility Index (VIX) has increased in importance and use as an indicator of market direction. This article demonstrates how the direction of tomorrows change in the VIX might be determined by restructuring readily available market data.
As usually presented, financial data is ordered in a time series: The data runs from left to right or top to bottom by increasing values of days, months, years, and so on. The data may be altered (with a moving average, lagged values, the log, or square taken, and so forth), but in most cases, data is envisioned and laid out according to the arrow of time. Patterns are then observed or discovered in this time-based frame-work, and this makes great sense: The factor that may produce tomorrows market moves are likely to come from today and previous days...
The Road Ahead
In recent years, the CBOE Volatility Index (VIX) has increased in importance and use as an indicator of market direction. This article demonstrates how the direction of tomorrows change in the VIX might be determined by restructuring readily available market data.
As usually presented, financial data is ordered in a time series: The data runs from left to right or top to bottom by increasing values of days, months, years, and so on. The data may be altered (with a moving average, lagged values, the log, or square taken, and so forth), but in most cases, data is envisioned and laid out according to the arrow of time. Patterns are then observed or discovered in this time-based frame-work, and this makes great sense: The factor that may produce tomorrows market moves are likely to come from today and previous days...
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