Monthly Archives: May 2012

Forecasting Realized Volatility with HAR-RV

Posted on May 12, 2012 by mathtrading

Among the models proposed to forecast Realized Volatility, the HAR-RV from Corsi stands out in terms of performance and simplicity. “HAR-RV” stands for Heterogenous Autoregressive model of Realized Volatility and is based on the so called “Heterogenous Market Hypothesis”. This states that … Continue reading →

Posted in Volatility | Tagged , , , | 11 Comments

Forecasting models and optimal parameters

Posted on May 9, 2012 by mathtrading

I was participating at a conference yesterday, and one of the panellists observed that in order for a model to have a good predictive power its parameters have to be stable over time. The reason behind this is that any forecasting method bases its … Continue reading →

Posted in On backtesting | Tagged , | Leave a comment

Realized Volatility: measuring volatility with High-Frequency data

Posted on May 7, 2012 by mathtrading

Volatility is a feature that is present in any market, and so its analysis and forecast is something that can give you an advantage whatever market you are trading  (and whether you build a strategy around it or you just … Continue reading →

Posted in Volatility | Tagged , , | 1 Comment

Math Trading’s Opening

Posted on May 7, 2012 by mathtrading

Hi everybody, This is my new blog about applying quantitative techniques and logic reasoning to gain an edge in financial markets. I will try to cover a number of different topics and keep the discussion as practical as possible. Looking forward … Continue reading →

Posted in Uncategorized | 1 Comment