Aplikace predikčního modelu volatility ve strategii obchodování futures
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Habudová, Kristýna
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Vysoká škola báňská - Technická univerzita Ostrava
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Abstract
The thesis objective of this work is to optimize trading strategies using futures volatility modeling tools. Optimizing focus on standardized Risk Management and number of contracts for unchanging number for the other parameters of the strategy. For the purposes of this work are used time series of US stock index e-mini market. In the work are analyzed daily yields on selected time series data and intraday time series depending on volatility modeling tool.
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Import 22/07/2015
Subject(s)
ATR, backtesting, financial derivatives, financial time series, GARCH, futures, GARCH, indicator, contracts, linear models, nonlinear models, optimization, prediction, profit target, stationarity, stop loss strategy, volatility, YM.