S&P500 Next Gen Volatility Model Results

Posted on Mi 05 September 2007 in misc • Tagged with Options, Volatility, S&P500 • 1 min read

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 …


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Timing Market Volatility

Posted on Fr 11 Mai 2007 in Stocks • Tagged with Trends, Data Analytics, Volatility • 2 min read

When I was first introduced to data mining and modeling, I felt like I had found the goose that laid the golden egg. I thought, erroneously, that I could create a predictive model that would be able to tell me what the closing price would be for a specific asset …


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