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The VIX index under scrutiny of machine learning techniques and neural networks
[article]
2021
arXiv
pre-print
The CBOE Volatility Index, known by its ticker symbol VIX, is a popular measure of the market's expected volatility on the SP 500 Index, calculated and published by the Chicago Board Options Exchange (CBOE). It is also often referred to as the fear index or the fear gauge. The current VIX index value quotes the expected annualized change in the SP 500 index over the following 30 days, based on options-based theory and current options-market data. Despite its theoretical foundation in option
arXiv:2102.02119v1
fatcat:c2ticxki5zcw3mtdb2w45saxy4