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# Category Archives: Volatility Modeling

## Enhancing Mutual Fund Returns With Market Timing

Summary In this article, I will apply market timing techniques to several popular mutual funds. The market timing approach produces annual rates of return that are 3% to 7% higher, with lower risk, than an equivalent buy and hold mutual … Continue reading

Posted in Forecasting, Market Timing, Time Series Modeling, Trading, Volatility Modeling
Tagged Market Timing, Mutual Funds, Volatility Modeling
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## How to Bulletproof Your Portfolio

Summary How to stay in the market and navigate the rocky terrain ahead, without risking hard won gains. A hedging program to get you out of trouble at the right time and step back in when skies are clear. Even … Continue reading

Posted in ETFs, Modeling, S&P500 Index, Volatility Modeling
Tagged Hedging, Market Timing, SPY, Stock portfolio, VIX Index
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## A Scalping Strategy in E-Mini Futures

This is a follow up post to my post on the Mathematics of Scalping. To illustrate the scalping methodology, I coded up a simple strategy based on the techniques described in the post. The strategy trades a single @ES contract on 1-minute … Continue reading

Posted in Algorithmic Trading, Trading, Volatility Modeling
Tagged E-mini, Easylanguage, Futures, Multicharts, Scalping, Tradestation, Trading Strategy
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## 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
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## The Mathematics of Scalping

NOTE: if you are unable to see the Mathematica models below, you can download the free Wolfram CDF player and you may also need this plug-in. You can also download the complete Mathematica CDF file here. In this post I want … Continue reading

Posted in Futures, Mathematca, Mathematica, Scalping, Trading, Volatility Modeling
Tagged Computable Document Format, Dynamic model, E-min, Execution, Extreme Value Distribution, Futures, Gaussian, High Frequency, IOC orders, Latency, Limit order book, Mathematica, Mote Carlo Simulation, Non-Gaussian, Scalping, Trade Expression, Volatility
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## 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
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