[R-SIG-Finance] Volatility clusters
kafka at centras.lt
Wed Jul 21 16:36:46 CEST 2010
I'm trying to test a claim, that mean reverting strategies work best, then
volatility is high. So far, I improved the results on the strategy by
applying simple volatility filter.
If 5 days volatility is below 2 years 0.35 quantile is stops trading.
So, my question is - can the filter be more sophisticated?
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