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osirisalgo
Joined
Jul 23, 2020
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超过5年
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Croatia
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Osiris
http://osirisea.com/index.php
Osiris Genesis | Low Volatility
Osiris Ragnarok | High Yield Reversion
http://osirisea.com/index.php
Osiris Genesis | Low Volatility
Osiris Ragnarok | High Yield Reversion
交易风格
Mean reversion applying a fixed risk model
The theory used in finance suggests that asset price volatility and historical returns eventually will revert to the long-run mean or average level of the entire dataset.
Yes, volatility does revert to its mean. This is true for both realized and implied volatility, which are of course closely related. Its official name is CBOE Volatility Index and it measures 30-day implied volatility of S&P500 options.
The theory used in finance suggests that asset price volatility and historical returns eventually will revert to the long-run mean or average level of the entire dataset.
Yes, volatility does revert to its mean. This is true for both realized and implied volatility, which are of course closely related. Its official name is CBOE Volatility Index and it measures 30-day implied volatility of S&P500 options.
格言
⚒勝利は我々のものだ。今日と明日。⚒
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