### 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 (3)
- 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: 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

## 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
Leave a comment

## 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
Comments Off

## 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

## 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
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