Reasonability and Sensibility December 20, 2018. Following the Fed rate hike, stock indices dropped to new lows to confirm the entry of a bear market. This should not be a surprise to aRead More...

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New Reflections on IFRS 9 Implementation

Principles - Ray Dalio

VXX、XIV、UVXY、SVXY等众多的VIX指数ETP产品，是市场上风险结构最为复杂的金融工具产品(注意我们强调金融工具产品，而不是金融产品)。 我们在前面多篇文章逐步介绍了与搭建这些ETP产品有关的基础产品的相关知识，也初步演示了部分量化分析方法和代码样本。其中的细节是读者需要深入理解并熟练掌握的。 在正式引入ETP之前，还有一个重要概念需要解释－这就是几乎所有VIX指数ETP产品所跟踪的S&P 500 VIX期货系列指数(S&P 500 VIX Futures Index Series)。有关详细内容，请读者参考S&P Dow Jones Indices官方网站查阅。

本节讲解并通过Python代码逐步验证Tony Cooper关于VIX衍生品VXX及XIV的量化分析方法和实践策略