May

19

I wrote a paper with John Wolberg in 2009 on sentiment indicators. We looked at VIX and a transformed version of it, we call pure vix. We use a regression model to filter out the effect of recent SP500 price dynamics (velocity and volatility primarily) on vix. The filtered version of vix provided the best signals for the SP500. The signals were significant at the 5% level. Anyone interested email me directly (see non-clickable address below) and I will send you a PDF file.

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