Volatility forecasts and the profitability of automated trading strategies

zbMATH Open1143.91332MaRDI QIDQ3514564FDOQ3514564

Authors: Günter Strobl, Engelbert J. Dockner 

Publication date: 21 July 2008

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Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cited In (4)

• Forecasting and trading high frequency volatility on large indices
• Overstatement of implied variance in the dollar/yen currency option market
• Automated trading with boosting and expert weighting
• Dynamic volatility trading strategies in the currency option market

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