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Adding EURUSD Historical Volatility Predictions

I recently connected my historical volatility prediction processes to the FRED API and pulled in closing data for the Euro. I want to autogenerate currency volatility predictions just like what I do for the stock indicies.

The only problem now is that the training and optimization part takes to long so I have to start breaking up the training/optimization and the auto post autogreneration processes. Plus I'm starting to hit the limit of my laptop and will likely move my training/optimization to a RapidMiner Server on AWS.

On top of all this, I should build a process that will tally how correct the predictions are and then autopost that!

Lots of work to do but it's damn cool!


S&P500 Next Gen Volatility Model Results

I just wanted to share with you the results from my next generation S&P500 Volatility Model. This model seeks to predict, on a weekly basis, the direction of the S&P500's Historical Volatility. I optimize the model weekly and then make a one week forward prediction on a rolling time series window.

To test how robust the model is, I took a sample from the training data to see if the model would be able to match the actual trend. As I said previously, this volatility model has a predictive accuracy between 60 to 70%, in this case its 65%.

I highly 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 it. :)

S&P500 Volatility Prediction Results


Neural Market Trends is the online home of Thomas Ott.