Advanced

A Volatility Based Trading Strategy

Charles, Fakir LU (2017) NEKN01 20171
Department of Economics
Abstract (Swedish)
This paper is an empirical review that looks at using GARCH volatility forecast to develop a trading strategy using an interval forecast to calculate threshold prices. Thereby determining prices to enter the market on the buy or sell side. This paper takes the perspective of the retail investor/amateur trader, in the context of the “Slow-motion revolution” Economist magazine (Jun 2016).
Please use this url to cite or link to this publication:
author
Charles, Fakir LU
supervisor
organization
course
NEKN01 20171
year
type
H1 - Master's Degree (One Year)
subject
keywords
Trading Strategy, GARCH, Volatility
language
English
id
8910595
date added to LUP
2017-07-10 13:53:57
date last changed
2017-07-10 13:53:57
@misc{8910595,
  abstract     = {This paper is an empirical review that looks at using GARCH volatility forecast to develop a trading strategy using an interval forecast to calculate threshold prices. Thereby determining prices to enter the market on the buy or sell side. This paper takes the perspective of the retail investor/amateur trader, in the context of the “Slow-motion revolution” Economist magazine (Jun 2016).},
  author       = {Charles, Fakir},
  keyword      = {Trading Strategy,GARCH,Volatility},
  language     = {eng},
  note         = {Student Paper},
  title        = {A Volatility Based Trading Strategy},
  year         = {2017},
}