Japan’s intentional or accidental pursuit of deflation has caused an imbalance far greater than Bernanke’s pursuit of inflation. Japanese policymakers have allowed Yen appreciation versus all other currencies. It appears that they recog...

This my first post in 2011. this post has cost me a bit more than usual, but I hope it meets expectations. The aim of this tutorial is to generate an algorithm based on black box trading, with all the necessary elements for evaluation. That is a first post of several, in order to explore the problems, features of...

A few weeks ago I have mentioned about an interesting volatility prediction. It is based on two periods of historical volatility (standard deviation). The remaining question was – does it really works? I could not give the answer, because I didn’t have VIX futures data at that time. Later on, I was contacted by Brian

quanttrader.info is a good quantitative repository, where I found an idea about seasonal spreads play. The idea of seasonal pair trading differs from pairs trading in a way, that it doesn’t try to find deviation from the spread’s mean, but it looks at seasonal spread patterns. In some cases it is easier to find an

During last two sessions (December 23th and 27th), VIX index posted returns (close to close) above 6 %. My question is – what return can we expect next day after such event? As you can see from the graph above, expected return is positive. During 1995-2010 were 53 such events and mean return was 1.02 %

Long time ago I stumbled across interesting volatility measurement at quantifiableedges.blogspot.com. The idea is following: take 3-day historical volatility of S&P 500 index and divide that by 10-day historical volatility. Then mark all points which are less that 0.25 and measure the volatility of 3 following days. On average, the volatility of following 3 days