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| GARCH(p,q) Model and Exit Strategy for Intraday Algo Traders http://www.smartquant.com/forums/viewtopic.php?f=42&t=10629 |
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| Author: | pawelach [ Mon Nov 04, 2013 7:21 am ] |
| Post subject: | GARCH(p,q) Model and Exit Strategy for Intraday Algo Traders |
Hi Guys, I would like to share with you a post I wrote on the practical application of GARCH model (in Matlab) as an Exit strategy in intraday trading: http://www.quantatrisk.com/2013/03/30/g ... c-traders/ I made a special effort to describe the mathematics standing behind the model fairly easy to grasp at any level. Since equations are boring, I wrote the Matlab code step by step with comments and remarks on the analysis between. If you have any ideas, comments, questions, feel free to share them with me. I will more than happy to address them all. Cheers, -Pawel |
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