Optimal trading strategies an uncertain volatility approach

Optimal trading strategies an uncertain volatility approachSimilar Publications

Electronic copy available at: ssrn/abstract=1573023

OPTIMAL TRADING STRATEGIES: AN UNCERTAIN

VOLATILITY APPROACH

CLAUDIO MONI

A. We outline an approach to design optimal trading portfolios to

exploit market inefficiencies.

so this position carries a risk premium. Our goal is to choose the portfolio ? that

Electronic copy available at: ssrn/abstract=1573023

2 CLAUDIO MONI

vega does not have constant sign. As a result, the market value of a generic payoff

cannot, in general, be expressed in terms of implied vol ?Ai. e. implied vol spread

x. We need to extend our modelling framework.

3. T. U. V.

Working within the uncertain volatility (UV) framework proposed by Avellaneda

[ALP95], we assume that the volatility ? is stochastic, but instead specifying a

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Time-weighted average price(twap)

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We know famous Volume-weighted Average Price in Equity world, within Forex, since most of the exchange does not supply Volume of trading lots, its not possiable to apply VWAP. however, How much time a price stay with in a time period is also a importent weight, I get this idea one day when watch a scalper interesting post and later did some research that it apply to most other scalpers system. the idea is simple. and the result should be clear.

I am not sure how I going to use this indicator yet, but post it here for reference.

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