The Chicago Chapter of the CMT Association in partnership with The Trading Club at the University of Chicago Financial Mathematics Department invites you to our next meeting on Thursday, February 15, 2018. We are pleased to have Andrew Thrasher, CMT of Financial Enhancement Group as our guest speaker for this event.
We encourage you to bring friends, clients or colleagues interested in technical analysis to this presentation. We look forward to seeing you there!
Samuel Borrelli, CMT
Matt Nygaard, CMT
Chicago Chapter Co-Chairs
DATE
Thursday, February 15, 2018
TIME
4:45PM
TOPIC
Forecasting a Volatility Tsunami
Mr. Thrasher will be presenting his 2017 Charles Dow Award-winning Paper, Forecasting a Volatility Tsunami. The empirical aim of this paper is motivated by the anecdotal belief among the professional and non-professional investment community, that a “low” reading in the CBOE Volatility Index (VIX) or large decline alone are ample reasons to believe that volatility will spike in the near future. While the Volatility Index can be a useful tool for investors and traders, it is often misinterpreted and poorly used. This paper will demonstrate that the dispersion of the Volatility Index acts as a better predictor of its future VIX spikes.
Click on the link to download the Forecasting a Volatility Tsunami.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2949847
PRESENTER
Andrew Thrasher, CMT
LOCATION
University of Chicago
1160 East 58th Street
Saieh Hall, Room 021
Chicago, IL 60637
REGISTRATION
Free to members and non-members
Andrew Thrasher, CMT is a Portfolio Manager with the Financial Enhancement Group, a central Indiana-based asset management firm. Andrew serves as a member of the investment allocation team, which manages 2 long/short strategies and 5 long-only strategies. He specializes in
