22 resultados para futures price volatility
em Cambridge University Engineering Department Publications Database
Resumo:
Forecasting the returns of assets at high frequency is the key challenge for high-frequency algorithmic trading strategies. In this paper, we propose a jump-diffusion model for asset price movements that models price and its trend and allows a momentum strategy to be developed. Conditional on jump times, we derive closed-form transition densities for this model. We show how this allows us to extract a trend from high-frequency finance data by using a Rao-Blackwellized variable rate particle filter to filter incoming price data. Our results show that even in the presence of transaction costs our algorithm can achieve a Sharpe ratio above 1 when applied across a portfolio of 75 futures contracts at high frequency. © 2011 IEEE.
Resumo:
This paper introduces a new approach to the capture, structuring and analysis of results from five national manufacturing Foresight exercises, and illustrates how such tools can help to integrate futures studies and strategy formulation.