Options Volatility Model

Posted on Di 07 August 2007 in misc • 1 min read

  • Neural Nets
  • Options tags: [] meta: _aioseop_keywords: Optiongs, Volatility, Stock Options, Neural Nets, Modeling, Volatility Clusters, Timing dsq_thread_id: '181041998' author:

    I haven't been posting an option trades from my virtual account lately because I haven't made any. The reason why is because forward test results indicate the model is more lucky than robust. So I've developed a second generation model that's a lot better statistically and uses pattern recognition learners from YALE/Rapidminer (the official Rapidminer 4.0 version is out now). Initial results have been very good; in a forward test from Jan 1, 2007 through July 27th, the model issued 21 correct signals out of 31 total (roughly 68%).

    What's next for this model? Well I can't tell you very much because its super secret but if things work out, I'll be making an announcement in September.