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VIX Fractal Compression Pattern and Markets Vulnerability: An Interdisciplinary Approach

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  • Romain Bocher

    (NN Investment Partners)

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.

Suggested Citation

  • Romain Bocher, 2022. "VIX Fractal Compression Pattern and Markets Vulnerability: An Interdisciplinary Approach," Post-Print hal-04188990, HAL.
    • Handle: RePEc:hal:journl:hal-04188990
    Note: View the original document on HAL open archive server: https://hal.science/hal-04188990
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    References listed on IDEAS

    as
    1. Robert J. Shiller, 2003. "From Efficient Markets Theory to Behavioral Finance," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 83-104, Winter.
    2. Romain Bocher, 2020. "Self-Organized Critical Markets: Implied Volatility and Avalanche Intensity," Post-Print hal-03352468, HAL.
    3. Matias I. Maturana & Christian Meisel & Katrina Dell & Philippa J. Karoly & Wendyl D’Souza & David B. Grayden & Anthony N. Burkitt & Premysl Jiruska & Jan Kudlacek & Jaroslav Hlinka & Mark J. Cook & L, 2020. "Critical slowing down as a biomarker for seizure susceptibility," Nature Communications, Nature, vol. 11(1), pages 1-12, December.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Implied Volatility; Options; Self-organized Criticality; Behavioral Finance;
    All these keywords.

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