Volatility, Multidimensional Regimes and Execution Performance

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March 23, 2020 - As we write this article, the U.S. Treasury yields have dropped to historical lows and the VIX has crossed 85. In addition, as shown in our recent market update (Narayanan, March 2020), quote size of the most traded E-mini S&P 500 is lowest in at least eight years. Volatility is not new to the markets and we have witnessed it several times during the course of the last several years after a calm regime of low VIX periods.

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