"The Peculiarities of Volatility" by Dr Ernest Chan
Вставка
- Опубліковано 29 сер 2024
- Talk by Dr Ernest Chan, Managing Member, QTS Capital Management, LLC. From QuantCon NYC 2016.
Ernie will explore some interesting features of both realized and implied volatilities that are useful to traders. These include the term structure of volatility, simple methods of volatility prediction, and what volatility and its siblings can tell us about future returns.
The slides for this presentation can be found at www.slideshare....
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omg ZACH GALIFIANAKIS GIVING THE INTRO.
Who is that
16:37 correction: I think he meant say the GARCH predicted realised vol and not IV
At around 10:00, Dr. Chan said that this is difficult to make a strategy betting on the sign of volatility change, what about derivatives? It is a good tool I think, adapted to these types of trades
I was thinking the same
@@CS_n00b I’m going to make a machine learning model for forecasting volatility
в общем - бабушка надвое сказала. Сомнительные преемущества, больше притянуто за уши.