fschmitzsc

HFT Scalping Idea based on Volatility Arbitrage.

FX:USDJPY   U.S. Dollar/Japanese Yen
Entry when volatility is outside of 2 std deviations of 20 min bars, exit when price reaches mid bollinger band ,
set the stop to be about equal to the number of pips in the lower or upper VolArb indicator .
fschmitzsc
2 years ago


Thus a period of high volatility will eventually give way to more normal volatility and similarly, a period of
low volatility will be followed by a rise. Mean reversion in volatility is generally
interpreted as meaning that there is a normal level of volatility to which volatility will
eventually return. Very long run forecasts of volatility should all converge to this same
normal level of volatility, no matter when they are made. While most practitioners
believe this is a characteristic of volatility, they might differ on the normal level of
volatility and whether it is constant over all time and institutional changes
"http://pages.stern.nyu.edu/~rengle/vol_paper_30jan01.PDF"
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