Monthly Archives: May 2012

Forecasting Realized Volatility with HAR-RV

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

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

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Realized Volatility: measuring volatility with High-Frequency data

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

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