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Pelman08


Total Posts: 4
Joined: Aug 2019
 
Posted: 2019-10-20 19:16
I have been using principle component analysis to trade the yield curve for a while now however I would like to know ,jow can I use principle component analysis to trade the vix term structure .

nikol


Total Posts: 830
Joined: Jun 2005
 
Posted: 2019-10-20 22:06
In ~2003, Rebonato was already decomposing vol term-strike structures into PC's.

Pelman08


Total Posts: 4
Joined: Aug 2019
 
Posted: 2019-10-21 00:14
thank you for replying to my message . Do u think you can explain to me how Rebonato used PCA to decompose and trade vol her-strike structures or cite me a paper on how they did it

frolloos


Total Posts: 84
Joined: Dec 2007
 
Posted: 2019-10-24 19:01
Does this help:

https://www.math.nyu.edu/faculty/avellane/SSRN-id3028910.pdf

One man's Theta is another man's Gamma - Me
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