Harnessing Neuroscientific Insights to Generate Alpha
基于神经科学和心理学证据，预测长期暴露于高波动性会导致市场参与者随后低估波动性，从而产生股票收益的可预测性，并构建交易策略在SPY ETF和VIX期货上获得超过4%的年化超额收益。
Building on evidence from neuroscience and psychology, we predict that prolonged exposure to high volatility causes market participants to subsequently underestimate volatility (and vice versa), leading to predictability in stock returns. We find VIX distortions consistent with this prediction and construct a trading strategy that exploits it. Applied to SPY ETFs and VIX futures contracts, the strategy significantly outperforms a buy-and-hold index portfolio, with higher annualized performance, lower volatility, and alphas exceeding 4%.