June 12th, 2015, 10:28 am
QuoteOriginally posted by: CuchulainnQuoteUVM is a good way to deal with unknown volatility at a strategic level, but it is not precise enough to use tactically. You need high frequency statistical sampling to get the level of accuracy needed for trading.Rough vol model??it is a model to predict volatility with a high degree of accuracy over very short time frames. Trade Frequency: 1 - 5 minutesData Sampling Frequency: Tick to minute dataBasically search for repeatable patterns on 10 years of tick, second, and minute data to predict minute patterns in the current market.Compensation for overfitting is done by looking at the behavior of the P&L and Risk metric changes over time and extrapolate with a non-linear curve fitting method. The idea is to predict patterns of minutes of moment stability.