December 2013
Intermediate to advanced
192 pages
3h 13m
English
book
Rule Based Investing: Designing Effective Quantitative Strategies for Foreign Exchange, Interest Rates, Emerging Markets, Equity Indices, and Volatility
by Chiente Hsu
Content preview from Rule Based Investing: Designing Effective Quantitative Strategies for Foreign Exchange, Interest Rates, Emerging Markets, Equity Indices, and VolatilityBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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Index
A
versus implied volatility, 20
allocation, rule based strategy, 150-154
applying filters
GARCH filter
applying to S&P 500 volatility strategy, 46-48
applying to swap rates volatility, 58-60
applying to USDJPY volatility strategy, 31-36
joint GARCH/VIX filter
applying to S&P 500 volatility strategy, 52
applying to USDJPY volatility strategy, 41
joint GARCH/vol curve filter, applying to swap rates volatility, 68-70
VIX filter
applying to carry investments, 96-103
applying to S&P 500 volatility strategy, 48-52
applying to USDJPY volatility strategy, 36-41
volatility curve filter, applying to swap rates volatility, 63-66
AUDJPY versus risky assets, 89-92
avoiding risk in carry investments, market indicators, 96-103 ...
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