Artur Sepp Blog on Quantitative Investment Strategies

  • Blog
  • Research
  • Talks
  • About
  • Volatility Modelling and Trading: Workshop presentation

    Posted at 5:13 pm by artursepp, on November 1, 2017

    During past years I have found the great value in using implied and realized volatilities for volatility trading and quantitative investment strategies. The ability to stay focused and to follow quantitative models for investment decisions is what sets you apart in these volatile markets and contributes to your performance. The implied volatility from option prices typically overestimates the magnitude of extreme events across all assets – see the figure above The volatility risk-premia can indeed be earned using a quantitative model.

    Nevertheless, after many years of working on volatility models, I realize that there a lot of gaps and inconsistencies in existing models for measuring and trading volatility. Unsurprisingly, by designing a model that sets you apart from the existing ones, you can significantly improve the performance of your investment strategies.

    In workshop presentation at Global Derivatives Conference 2016  I have discussed in depth the volatility risk premia. The beginning and largest part of the presentation is devoted to measuring and estimating historical volatilities. The historical volatility is the key to many of the quantitative strategies, so that the historical volatility an important starting point in all applications. Then I discuss delta-hedging, transaction costs, and macro-risk management. Finally, I discuss using volatility for systematic investment strategies.

     

    Share this:

    • Click to share on LinkedIn (Opens in new window)
    • Click to share on Twitter (Opens in new window)
    • Click to share on WhatsApp (Opens in new window)
    • Click to email this to a friend (Opens in new window)
    • Click to print (Opens in new window)
    • ← Allocation to systematic volatility strategies using VIX futures, S&P 500 index puts, and delta-hedged long-short strategies
    • Diversifying Cyclicality Risk of Quantitative Investment Strategies: presentation slides and webinar Q&A →

    Author: artursepp

    Posted in Quantitative Strategies, Uncategorized, Volatility Modeling, Volatility Trading | 0 Comments |

    Leave a Reply Cancel reply

    • About

      LinkedIn Profile

      SSRN Research Papers

      Follow @ArturSepp

    • Subscribe

      Enter your email address to subscribe to this blog and receive notifications of new posts by email.

      Join 5,313 other subscribers

    • Recent Posts

      • Developing systematic smart beta strategies for crypto assets – QuantMinds Presentation
      • Toward an efficient hybrid method for pricing barrier options on assets with stochastic volatility – research paper
      • Professional update: systematic solutions for crypto and digital assets at Sygnum Bank’s Asset Management
      • Paper on Automated Market Making for DeFi: arbitrage-fee exchange between on-chain and traditional markets
      • Machine Learning for Volatility Trading
      • Trend-following strategies for tail-risk hedging and alpha generation
      • Lessons from the crash of short volatility ETPs
      • Diversifying Cyclicality Risk of Quantitative Investment Strategies: presentation slides and webinar Q&A
      • Volatility Modelling and Trading: Workshop presentation
      • Allocation to systematic volatility strategies using VIX futures, S&P 500 index puts, and delta-hedged long-short strategies
      • Why the volatility is log-normal and how to apply the log-normal stochastic volatility model in practice
      • Volatility Modeling and Trading: Q&A with Euan Sinclair
      • Quantitative Approaches to Wealth Management: An Interview for Instututional Investor Journals
      • How to optimize volatility trading and delta-hedging strategies under the discrete hedging with transaction costs
    • Categories

      • Asset Allocation (6)
      • Crypto (2)
      • Decentralized Finance (2)
      • Quantitative Strategies (11)
      • Trend-following (2)
      • Uncategorized (12)
      • Volatility Modeling (9)
      • Volatility Trading (8)
  • My Tweets

loading Cancel
Post was not sent - check your email addresses!
Email check failed, please try again
Sorry, your blog cannot share posts by email.