Optimisation of Trading Strategy in Futures Market using Nonlinear Volatility Models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86098397" target="_blank" >RIV/61989100:27510/16:86098397 - isvavai.cz</a>
Result on the web
<a href="https://msed.vse.cz/msed_2016/article/72-Seda-Petr-paper.pdf" target="_blank" >https://msed.vse.cz/msed_2016/article/72-Seda-Petr-paper.pdf</a>
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Optimisation of Trading Strategy in Futures Market using Nonlinear Volatility Models
Original language description
Backtesting and optimisation of trading strategies has been widely discussed topic in practically oriented econometric analysis for many years. In this paper, we focus on application of forecasting univariate volatility models when optimizing trading strategy in futures market. This paper is focused on backtesting and optimisation of trading strategy in futures market that are based on volatility estimation using nonlinear conditional volatility models. In fact, one of the most challenging practical problems of recent years was to understand and model a behavior of volatility of financial markets. In order to illustrate an application of this approach, we consider daily returns of American e-mini market future index in the period from September 2013 to December 2014. Backtesting of trading strategy was provided by management of normalized risk and amount of contracts per trade assuming unvarying other parameters of trading strategy. When optimizing initial trading strategy using conditional volatility models a profitability has increased significantly while maintaining reasonable values of other characteristics compared to its initial values.
Czech name
—
Czech description
—

Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
The 10th International Days of Statistics and Economics : conference proceedings : September 8-10, 2016, Prague, Czech Republic
ISBN
978-80-87990-10-0
ISSN
—
e-ISSN
—
Number of pages
10
Pages from-to
1617-1626
Publisher name
Melandrium
Place of publication
Slaný
Event location
Praha
Event date
Sep 8, 2016
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000389515100160

Similar results(10)