Yingzi Zhu

TL;DR: In this article, the authors analyze the usefulness of technical analysis, specifically the widely employed moving average trading rule from an asset allocation perspective, and show that when stock returns are predictable, technical analysis adds value to commonly used allocation rules that invest fixed proportions of wealth in stocks.

TL;DR: In this article, a trend factor that captures simultaneously all three stock price trends: the short-, intermediate-, and long-term, by exploiting information in moving average prices of various time lengths whose predictive power is justified by a proposed general equilibrium model was proposed.

TL;DR: In this paper, the authors empirically study the variance term structure using VIX futures market and derive a new pricing framework for Vix futures that is convenient to study variance term structures dynamics.

TL;DR: This paper derived a no arbitrage pricing model for VIX futures pricing based on the drift term of risk-neutral dynamics for instantaneous variance and the term structure of forward variance curve from options market.

TL;DR: In this article, the authors derived a relation between the drift term of risk-neutral dynamics for instantaneous variance and the term structure of forward variance and showed that the forward variance curve can be derived from options market.