Optimisation of Trading Strategy in Futures Market using Nonlinear Volatility Models

Kód výsledku v 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>

Výsledek na webu

<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

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Jazyk výsledku

angličtina

Název v původním jazyce

Optimisation of Trading Strategy in Futures Market using Nonlinear Volatility Models

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Optimisation of Trading Strategy in Futures Market using Nonlinear Volatility Models

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2016

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

The 10th International Days of Statistics and Economics : conference proceedings : September 8-10, 2016, Prague, Czech Republic

ISBN

978-80-87990-10-0

ISSN

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e-ISSN

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Počet stran výsledku

10

Strana od-do

1617-1626

Název nakladatele

Melandrium

Místo vydání

Slaný

Místo konání akce

Praha

Datum konání akce

8. 9. 2016

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000389515100160