交易信号在VIX期货
Trading Signals In VIX Futures
摘要：
我们提出了一种交易VIX期货的新方法。我们假设波动率指数期货的期限结构遵循马尔可夫模型。我们的交易策略选择波动率指数期货头寸的方法是，在当前期限结构的形态和水平下，最大化前一天的期望效用。在计算方面，我们将VIX期货曲线、VIX期货头寸和期望效用之间的函数依赖关系建模为具有五个隐藏层的深度神经网络。波动率指数期货交易策略的样本外回测表明，这种方法可以产生合理的投资组合表现，并根据市场环境，投资者可以做多或做空波动率指数期货合约。
英文摘要：
We propose a new approach for trading VIX futures. We assume that the term structure of VIX futures follows a Markov model. Our trading strategy selects a position in VIX futures by maximizing the expected utility for a day-ahead horizon given the current shape and level of the term structure. Computationally, we model the functional dependence between the VIX futures curve, the VIX futures positions, and the expected utility as a deep neural network with five hidden layers. Out-of-sample backtests of the VIX futures trading strategy suggest that this approach gives rise to reasonable portfolio performance, and to positions in which the investor will be either long or short VIX futures contracts depending on the market environment.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
