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A discussion on filtering volatility

Richard Taylor

Joined
7/6/13
Messages
14
Points
11
Hi,

I am looking to apply some volatility filters to my strategy and am just wondering what would be a good approach.

I have uploaded a paper I am reading as a possible start for some discussion. Also, whilst I have studied advanced mathematics, some of the concepts included in this paper are a little new to me. Any help or general discussion surrounding anything in this paper or any others relating to volatility filtering would be very much appreciated.

I am just starting to get my head into this on a serious level :)

Thanks in advance!
 

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  • A filtering approach to tracking volatility.pdf
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