VIX Fractal Compression Pattern and Markets Vulnerability: An Interdisciplinary Approach

Romain Bocher ()
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Romain Bocher: NN Investment Partners

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Abstract: Between two significant implied volatility spikes, the CBOE VIX index tends to gradually converge towards a form of relative equilibrium, as if driven by stabilizing forces. Such fractal compression patterns can be analyzed with regards to investors behavioral biases, highlighting critical zones in which the stock market becomes vulnerable to even small shocks.

Keywords: Implied Volatility; Options; Self-organized Criticality; Behavioral Finance (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-hme and nep-rmg
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Published in Hyperion International Journal of Econophysics & New Economy, 2022, 15 (2)

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04188990

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