{"id":783,"date":"2017-11-21T13:33:58","date_gmt":"2017-11-21T13:33:58","guid":{"rendered":"http:\/\/quantpedia.com\/?p=783"},"modified":"2025-06-04T14:15:09","modified_gmt":"2025-06-04T12:15:09","slug":"a-few-tips-for-volatility-trading","status":"publish","type":"post","link":"https:\/\/vvv.quantpedia.com\/es\/a-few-tips-for-volatility-trading\/","title":{"rendered":"A Few Tips for Volatility Trading"},"content":{"rendered":"

\n\tA new financial research paper related to volatility selling strategies:<\/strong><\/p>\n

\n\tAutores:<\/strong> Sepp<\/p>\n

\n\tT\u00edtulo: <\/strong>Gaining the Alpha Advantage in Volatility Trading<\/p>\n

\n\tLink:<\/strong> https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3032098<\/a><\/p>\n

\n\tAbstracto:<\/strong><\/p>\n

\n\tWe present some empirical evidence for short volatility strategies and for the cyclical pattern of their P&L. The cyclical pattern of the short volatility strategies produces an alpha in good times but collapses to the beta in bad times. We introduce a factor model with risk-aversion to explain the risk-premium of short volatility strategies as a compensation to bear losses in bad market regimes. We then consider an econometric model for statistical inference of market regimes and for optimal position sizing. Finally, we illustrate model applications for generating alpha from volatility strategies.<\/p>\n

\n\tNotable presentation slides from the academic research paper:<\/strong><\/p>\n

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\n\n\n\n

\u00bfBuscas m\u00e1s estrategias para leer? Suscr\u00edbete a nuestro bolet\u00edn informativo<\/a> o visite nuestra Blog<\/a> o Evaluador<\/a><\/strong>.<\/p>\n\n\n\n

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Facebook Grupo<\/a>, Facebook P\u00e1gina<\/a>, Gorjeo<\/a>, LinkedIn<\/a>, Medio<\/a> o YouTube<\/a><\/strong><\/p>","protected":false},"excerpt":{"rendered":"

\n\tA new financial research paper related to volatility selling strategies:<\/strong><\/p>\n

\n\tAutores:<\/strong> Sepp<\/p>\n

\n\tT\u00edtulo: <\/strong>Gaining the Alpha Advantage in Volatility Trading<\/p>\n

\n\tLink:<\/strong> https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3032098<\/a><\/p>\n

\n\tAbstracto:<\/strong><\/p>\n

\n\tWe present some empirical evidence for short volatility strategies and for the cyclical pattern of their P&L. The cyclical pattern of the short volatility strategies produces an alpha in good times but collapses to the beta in bad times. We introduce a factor model with risk-aversion to explain the risk-premium of short volatility strategies as a compensation to bear losses in bad market regimes. We then consider an econometric model for statistical inference of market regimes and for optimal position sizing. Finally, we illustrate model applications for generating alpha from volatility strategies.<\/p>\n

\n\tNotable presentation slides from the academic research paper:<\/strong><\/p>\n

\n\t"<\/p>\n

\n\t\"pic1\"<\/p>\n

\n\t\"pic2\"<\/p>\n

\n\t\"pic3\"<\/p>\n

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\n\t"<\/p>\n

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\n\tAre you looking for more strategies to read about? Check http:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/Screener<\/a><\/strong><\/p>\n

\n\tDo you want to see performance of trading systems we described? Check<\/strong> http:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/Chart\/Performance<\/a><\/strong><\/p>\n

\n\tDo you want to know more about us? Check<\/strong> http:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/Home\/About<\/a><\/strong><\/p>","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-783","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/783","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/comments?post=783"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/783\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=783"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=783"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=783"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}