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Open Access

Peer-reviewed

Research Article

VIX constant maturity futures trading strategy: A walk-forward machine learning study

Sangyuan Wang ,

Contributed equally to this work with: Sangyuan Wang, Keran Li

Roles Conceptualization, Data curation, Formal analysis, Investigation, Methodology, Project administration, Resources, Software, Visualization, Writing – original draft, Writing – review & editing

Affiliation Southwestern University of Finance and Economics, Chengdu, Sichuan, China
⨯
Keran Li ,

Contributed equally to this work with: Sangyuan Wang, Keran Li

Roles Investigation, Project administration, Resources, Software, Supervision, Validation, Visualization, Writing – original draft, Writing – review & editing

* E-mail: 1221201z5010@smail.swufe.edu.cn

Affiliation Southwestern University of Finance and Economics, Chengdu, Sichuan, China

https://orcid.org/0009-0003-3570-8121

⨯
Yaling Liu,

Roles Resources

Affiliation Southwestern University of Finance and Economics, Chengdu, Sichuan, China
⨯
Yijun Chen,

Roles Resources

Affiliation Southwestern University of Finance and Economics, Chengdu, Sichuan, China
⨯
Xianbo Tang

Roles Resources

Affiliation The University of Sydney, Sydney, New South Wales, Australia
⨯

VIX constant maturity futures trading strategy: A walk-forward machine learning study

Sangyuan Wang,
Keran Li,
Yaling Liu,
Yijun Chen,
Xianbo Tang

x

Published: April 19, 2024
https://doi.org/10.1371/journal.pone.0302289

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