Below you will find pages that utilize the taxonomy term “Finance”
The inspiration for my S&P500 Volatility Timing model came from rereading portions of Mandelbrot’s book, The (Mis)Behavior of Markets, and trolling around the Internet for Nassim Taleb’s research work on risk. I think both guys push the envelope on truly understanding unseen risk and those pesky financial asteroids. Since my model is currently being developed, I thought it would be worth my while to truly learn and understand how historical volatility (HV) is calculated.
Today I wanted to share with you a part of the algorithmic back end to my ETF Trend System. Note, I said “part”, I’m not giving away all my secrets. It’s written completely in Excel, incredibly simple, and is a macro that you can import. The system works by using something called linear regression slope.
The easiest way to understand what linear regression slope is, is to think back to your basic statistics class.