How well can machine learning predict VIX?

In this paper, we study how machine learning can utilize a large amount of economic data to predict the fear index with economically significant accuracy. Any comments and suggestions are most welcome.

About Charlie Cai

I devote myself to studying a wide range of finance topics including asset pricing, investment and financial technology. Through my research, I am learning the core of value and valuation with a practical mind. I am searching and researching data-driven analytical solutions for quantitative trading strategies.

I am currently a Professor of Finance at the University of Liverpool.

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The pictures used in the following categories are from Kevinkeasey.com a great friend and mentor of mine.

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