### Forums

### Blogroll

### Search

### Archives

### Categories

- Algorithmic Trading (6)
- ARFIMA (1)
- ARMA (4)
- Asian markets (2)
- Binary Options (1)
- Black Noise (2)
- Cointegration (2)
- Correlation Dimension (1)
- Correlation Integral (1)
- Derivatives (3)
- Direction Prediction (4)
- Dispersion (1)
- Econometrics (7)
- Econophysics (2)
- Education (1)
- Emerging Markets (1)
- ETFs (2)
- Fat Tails (2)
- FIGARCH (2)
- Financial Engineering (5)
- Forecasting (17)
- Fourier Transforms (1)
- Fractional Brownian Motion (2)
- Fractional Cointegration (2)
- Fractional Integration (3)
- Futures (2)
- GARCH (1)
- Graduate Programs (1)
- Granger Causality (1)
- Henon Attractor (1)
- High Frequency Finance (5)
- High Frequency Trading (4)
- Hurst Exponent (2)
- Hybrid Products (1)
- Interest Rate Models (1)
- Jobs (1)
- Logistic Attractor (1)
- Logit Regression (2)
- Long Memory (4)
- Machine Learning (4)
- Market Efficiency (2)
- Market Microstructure (3)
- Market Timing (2)
- Markov Model (1)
- Markov State Models (1)
- Mathematca (1)
- Mathematica (3)
- Matlab (2)
- Mean Reversion (2)
- Metals (1)
- Model Review (1)
- Modeling (4)
- Momentum (1)
- Multifactor Models (2)
- Nearest Neighbor (1)
- Neural Networks (1)
- Nonlinear Classification (2)
- Nonlinear Dynamics (2)
- Options (6)
- Order Flow (1)
- Pairs Trading (2)
- Pink Noise (2)
- Principal Components Analysis (1)
- Purchasing Power Parity (1)
- Quant/Traders (1)
- Random Forrests (1)
- Recruitment (1)
- REGARCH (3)
- Regime Shifts (4)
- Regime Switching (2)
- Regression (1)
- Risk Management (1)
- S&P500 Index (6)
- Scalping (1)
- Signal Processing (1)
- Spline Methods (1)
- Statistical Arbitrage (2)
- Stochastic Differential Equations (1)
- Strange Attractor (1)
- Support Vector Machines (1)
- Time Series Modeling (4)
- Toxic Flow (1)
- Trading (5)
- Uncategorized (4)
- Unit Roots (1)
- Volatility Modeling (16)
- volatility sign prediction forecasting Engle (3)
- White Noise (3)
- Yield Curve Modeling (1)

### Tag Cloud

ARFIMA ARMA Models Black Noise Derivatives Direction Prediction E-mini Financial engineering Forecasting Fractional Brownian Motion Fractional Cointegration Fractional Integration Futures GARCH High Frequency Trading Hybrid Products Jump Diffusion Kalman Filter Kurtosis Long Memory Machine Learning Market Microstructure Market Timing Mathematica Model Review MultiFactor Models Natural Gas Option Pricing Options Pairs Trading REGARCH Regime Shifts Robustness S&P500 Index Scalping Smile Statistical Arbitrage Stochastic Volatility Strategy Tradestation Trading Volatility Volatility Dynamics Volatility Metrics White Noise Yield Curve Modeling

# Category Archives: Uncategorized

## More on Strategy Robustness

Commentators have made the point that a high % win rate is not enough. Yes, you obviously want to pay attention to other performance metrics also, such as profit factor. In fact, there is no reason why you shouldn’t consider … Continue reading

## Optimizing Strategy Robustness

Below is the equity curve for an equity strategy I developed recently, implemented in WFC. The results appear outstanding: no losing years in over 20 years, profit factor of 2.76 and average win rate of 75%. Out-of-sample results (double blind) … Continue reading

Posted in Uncategorized
Tagged Equity strategies, Out of sample performance, Robustness
Leave a comment

## Stationarity and Fat Tails

In this post I am going to explore how, starting from the assumption of a stable, Gaussian distribution in a returns process, we evolve to a system that displays all the characteristics of empirical market data, notably time-dependent moments, high … Continue reading

Posted in Fat Tails, Mathematica, Regime Shifts, Regime Switching, Uncategorized, Volatility Modeling
Tagged Fat Tails, Jump Diffusion, Kurtosis, Non-Normal, Regimes, Stationarity, Volatility Smile
Comments Off

## Long Memory and Regime Shifts in Asset Volatility

This post covers quite a wide range of concepts in volatility modeling relating to long memory and regime shifts. The post discusses autocorrelation, long memory, fractional integration, black noise, white noise, Hurst Exponents, regime shift detections, Asian markets and various topics froms nonlinear dynamics. Continue reading

Posted in ARFIMA, Asian markets, Black Noise, Correlation Dimension, Correlation Integral, FIGARCH, Forecasting, Fractional Brownian Motion, Fractional Integration, Henon Attractor, Hurst Exponent, Logistic Attractor, Long Memory, Modeling, Nonlinear Dynamics, Pink Noise, Regime Shifts, Strange Attractor, Uncategorized, Volatility Modeling, White Noise
Tagged ARFIMA, Black Noise, Forecasting, Fractional Brownian Motion, Fractional Integration, Henon Attractor, Logistic Attractor, Long Memory, Regime Shifts, Strange Attractor, Volatility, Volatility Dynamics, White Noise
Comments Off