Trading Signals in VIX Futures (Q5075243)

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scientific article; zbMATH DE number 7524848
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Trading Signals in VIX Futures
scientific article; zbMATH DE number 7524848

    Statements

    title
    Trading Signals in VIX Futures (English)
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    author
    Thomas Nanfeng Li
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    Andrew Papanicolaou
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    Gaozhan Wang
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    Marco Avellaneda
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    publication date
    10 May 2022
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    Mathematics Subject Classification ID
    91G20
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    91G30
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    62P05
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    zbMATH DE Number
    7524848
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    zbMATH Keywords
    VIX futures
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    trading signals
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    contango
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    deep learning
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    feedforward neural networks
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    cross validation
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    arXiv ID
    2103.02016
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    OpenAlex ID
    W4205223208
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