Comments on: The Problem With Volatility http://www.neuralmarkettrends.com/2007/08/26/the-problem-with-volatility/ Rapidminer Evangelism & Consulting Fri, 10 Feb 2012 14:59:20 +0000 hourly 1 http://wordpress.org/?v=3.3.1 By: S&P500 Next Gen Volatility Model Results | Neural Market Trends http://www.neuralmarkettrends.com/2007/08/26/the-problem-with-volatility/comment-page-1/#comment-319 S&P500 Next Gen Volatility Model Results | Neural Market Trends Wed, 05 Sep 2007 21:02:16 +0000 http://www.neuralmarkettrends.com/2007/08/26/the-problem-with-volatility/#comment-319 [...] doubt that I’d be able to do better than 70% in predicting volatility, because of its “volatile nature,” but as a future option trader I’m willing to live with [...] [...] doubt that I’d be able to do better than 70% in predicting volatility, because of its “volatile nature,” but as a future option trader I’m willing to live with [...]

]]> By: Festival of Stocks #52 - Fat Pitch Financials http://www.neuralmarkettrends.com/2007/08/26/the-problem-with-volatility/comment-page-1/#comment-317 Festival of Stocks #52 - Fat Pitch Financials Wed, 05 Sep 2007 03:18:49 +0000 http://www.neuralmarkettrends.com/2007/08/26/the-problem-with-volatility/#comment-317 [...] back into the swing of things with the following Festival of Stocks submissions: The Problem With Volatility by Neural Market Trends looks at the clustering of market volatility and thinks that one can [...] [...] back into the swing of things with the following Festival of Stocks submissions: The Problem With Volatility by Neural Market Trends looks at the clustering of market volatility and thinks that one can [...]

]]> By: Tom http://www.neuralmarkettrends.com/2007/08/26/the-problem-with-volatility/comment-page-1/#comment-293 Tom Mon, 27 Aug 2007 09:58:52 +0000 http://www.neuralmarkettrends.com/2007/08/26/the-problem-with-volatility/#comment-293 CG, I'm not trying to predict volatility but rather its direction. Interestingly enough, if the model is optimized on a weekly basis, the predictions for next week tend to have a greater than 50% accuracy. Yes it is catching on the current trend but that's what I want! CG, I’m not trying to predict volatility but rather its direction. Interestingly enough, if the model is optimized on a weekly basis, the predictions for next week tend to have a greater than 50% accuracy. Yes it is catching on the current trend but that’s what I want!

]]> By: Christian Gross http://www.neuralmarkettrends.com/2007/08/26/the-problem-with-volatility/comment-page-1/#comment-291 Christian Gross Sun, 26 Aug 2007 18:23:54 +0000 http://www.neuralmarkettrends.com/2007/08/26/the-problem-with-volatility/#comment-291 Funny, you mention that there are clusters... It is an interesting finding no? Now about unpredictable, I would be very hesitant to adapt your model every week because that would imply to me that you are optimizing to the current trend. Yes I know there are those people that say you can predict in the short term, but I find those types of predictions dangerous. If it were me I would not try to predict volatility, but figure out what the worst case scenarios could be and indicate the probability of the remainder. I find the Sherlock Holmes theory very interesting, and it is sort of what Taleb pointed out in his books. Here is an interesting prediction, what will happen after the interest rate decision in September? The question is will it go up or down? What I typically do is think in simple principles and then go through all of the permutations and combinations of those simple principles. Could you predict out into the future? Good question... Have a read of "New Kind of Science" Funny, you mention that there are clusters… It is an interesting finding no?

Now about unpredictable, I would be very hesitant to adapt your model every week because that would imply to me that you are optimizing to the current trend. Yes I know there are those people that say you can predict in the short term, but I find those types of predictions dangerous.

If it were me I would not try to predict volatility, but figure out what the worst case scenarios could be and indicate the probability of the remainder. I find the Sherlock Holmes theory very interesting, and it is sort of what Taleb pointed out in his books.

Here is an interesting prediction, what will happen after the interest rate decision in September? The question is will it go up or down?

What I typically do is think in simple principles and then go through all of the permutations and combinations of those simple principles.

Could you predict out into the future? Good question… Have a read of “New Kind of Science”

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