mdh.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Volatility prediction and straddle strategy on FORTS market
(MERO)
2011 (English)In: Exploring the world of financial engineering / [ed] Jevgenijs Carkovs, Anatoliy Malyarenko, Kalev Pärna, Västerås: Mälardalen University , 2011, 80-86 p.Chapter in book (Other academic)
Abstract [en]

A dynamic one-day-ahead RTS index volatility prediction is applied to straddle (volatility trading) strategy. Clustering effect is employed to detect arbitrage opportunities. The half of the signals generated allows to gain profit from transactions.

Place, publisher, year, edition, pages
Västerås: Mälardalen University , 2011. 80-86 p.
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-13370OAI: oai:DiVA.org:mdh-13370DiVA: diva2:460110
Available from: 2011-11-29 Created: 2011-11-29 Last updated: 2011-11-29Bibliographically approved

Open Access in DiVA

No full text

Search in DiVA

By author/editor
Rybakov, Artem
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

Total: 63 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf