Adaptive Volatility: A Robustness Test Using Global Risk Parity

Published: 29/11/2017
Adaptive Volatility: A Robustness Test Using Global Risk Parity
Source: CSSANALYTICS.WORDPRESS.COM

In the last post we introduced the concept of using adaptive volatility in order to have a flexible lookback as a function of market conditions. We used the R-squared of price as a proxy for the strength of the trend in the underlying market in order to vary the half-life in an exponential moving average […]

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