L******g
发帖数: 1371 | 1 http://ai-cio.com/channel/NEWSMAKERS/Volatility-Focused_Strateg
末尾提到了他们的strategy, too simple to be true, but could be true.
One well-known pattern is that rising volatility is associated with negative
market returns; positive returns often follow volatility peaks." | S*********g
发帖数: 5298 | 2 这个关系差不多是对的，
基本上就是说市场里涨和跌之间的不对称
涨一般慢慢涨，跌一般是狂泻
但是关键是怎么判断volatility到顶了？
这个就跟判断trend一样，事后confirm很容易
但是事先判断什么时候Volatility到顶，或者trend正式开始
这个很难
negative
【在 L******g 的大作中提到】
: http://ai-cio.com/channel/NEWSMAKERS/Volatility-Focused_Strateg
: 末尾提到了他们的strategy, too simple to be true, but could be true.
: One well-known pattern is that rising volatility is associated with negative
: market returns; positive returns often follow volatility peaks."
| l****o
发帖数: 2909 | 3 这是一个典型的volatility pattern吧？ |
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