Effects of nondiscretionary trading on futures prices
研究了波动率指数交易所交易产品发行商的非自主交易需求对VIX期货价格和成交量的影响，发现其机械性再平衡对期货日末收益有显著正向预测力，且影响随时间因对冲基金流动性提供而减弱。
Abstract This paper examines the effects of the nondiscretionary trading demands of volatility index (VIX) exchange‐traded products (ETPs) issuers on the prices and volumes in the VIX futures. We find that the ETPs' informationless, mechanical rebalancing of futures positions to maintain the constant maturity of the index and the promised leverage ratios of the VIX ETPs have significantly positive predictive power for end‐of‐day futures returns. We also show that the impact on price has diminished through time from increased liquidity provided by hedge funds, and the “natural” hedging of the issuers' inverse products.