分级CFD投资(模型)设置与波动率周期追求

IMF

请问谁考虑或用过按现有的存量资金(例如1W, 10W OR 100W or more)去开展分级的CFD投资(模型). 另外, 考虑如何追求最高外汇交易对的波动率而进行投资(每天或每一个周期内, 都会有一个或几个外汇交易对的波动率是最高的)?请大家发表看法或经验. 谢谢先.

xtrader

原帖由 IMF 于 2012-5-24 21:07 发表
请问谁考虑或用过按现有的存量资金(例如1W, 10W OR 100W or more)去开展分级的CFD投资(模型). 另外, 考虑如何追求最高外汇交易对的波动率而进行投资(每天或每一个周期内, 都会有一个或几个外汇交易对的波动率是最高的)?请大家发表看法或经验. 谢谢先.

First of all, what's your definition of 投资? To me, 投资 = Investment which is something that could hold for years, such as property. If we were on the same page, CFD is not a good tool for it. CFD is a tool for TRADING. Investment is not equal to trading.

The next one, you could use Bollinger Bands or Bollinger Bandwidth, or Average True Range (ATR) to find the range. How many trades? All depend on your trading rules and style. Scalping, have dozens to hundreds even thousands. Trend following (5m, 1m), may have few in a day. Trend following (4H, 30m), may have few in a week. Trend following (W, D), may few in a year. Momentum/swing/counter trend/, may have ??? in ???.

gypgypgyp

长时间的波动率必定会出现heteroskedasticity或者conditional heteroskedasticity

解决不了这个问题的任何答案都属扯淡

楼主不会以为这里真有人真正懂行econometric吧


这种问题的实际应用你应该去摩根斯坦利的trading desk问问还靠谱

未名湖

这个问题吸引我进来了，我考虑过，不过我发现我拿不到数据去分析，放弃了

xtrader

原帖由 gypgypgyp 于 2012-5-25 14:50 发表
长时间的波动率必定会出现heteroskedasticity或者conditional heteroskedasticity

解决不了这个问题的任何答案都属扯淡

楼主不会以为这里真有人真正懂行econometric吧

You are so certain for your reply.

这种问题的实际应用你应该去摩根斯坦利的trading desk问问还靠谱

I sure that not everyone at M.S. trading desk could answer this. To be exact, most of them are not able to answer.