Trading VIX Futures under Mean Reversion with Regime Switching
Macro signals and regime strategies in volatility and options, studied by Li in 2016 with a state-space model. The abstract mentions transaction costs but not a benchmark, an out-of-sample test, multiple testing or the size of the universe.
“For the trading strategies, we analyze the timings and sequences of the investor's market participation, which leads to several corresponding coupled system of variational inequalities.”
AssetVolatility and optionsfutures
StrategyMacro signalsvolatility risk premium
TechniqueState-space model
Also stated: costs
Missing from abstract: benchmark, out-of-sample test, multiple testing, universe
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