Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning
The VSTOXX index tracks the expected 30-day volatility of the EURO STOXX 50 equity index. Futures on the VSTOXX index can, therefore, be used to hedge against economic uncertainty. We investigate the effect of trader inventory on the price of VSTOXX futures through a combination of stochastic proces...
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| Format: | Article |
| Language: | English |
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KeAi Communications Co., Ltd.
2021-11-01
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| Series: | Journal of Finance and Data Science |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405918821000064 |