Fat Tails and VIX Day of Week Returns

Posted by Michael Harris on April 29, 2019

Averages, although seemingly robust, cannot be used in inferences about market returns because due to fat tails in VIX returns they are random variables . . .

seasonality VIX

Michael Harris

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Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated performance results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Hypothetical trading results are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.

Fat Tails and VIX Day of Week Returns

Michael Harris

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Fat Tails and VIX Day of Week Returns

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Subscribe by email

Subscribe and receive a free book

CFTC RULE 4.41

Copyright Notice

Categories