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Abstract
This report delves into extreme VIX patterns, offering up an overlooked, profitable trading strategy for short-term institutional investors. Co-author Agustin Daviou explains the practical applications of the research. His approach contrasts the typical focus on volatility levels. The source article appeared in The Journal of Investing .
What motivated the research?
“After the 2008 market crash, volatility spiked so high and was such an outlier event that I was interested in analyzing what happens to the market after significantly sharp declines,” Daviou says. The results confirmed his expectations, he adds. “But it’s a good contribution to have solid analysis via a good dataset to confirm our thinking.”
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