Translating overnight and intraday returns to improve daily volatility forecast accuracy

Lost in translation: Accuracy versus profitability of intraday, overnight and volume information for volatility-based trading



Historical patterns in equity prices have been used extensively to devise active trading strategies such as, for instance, momentum1 and technical trading rules.2 However, a consensus view among forecasters is that daily returns are to a large extent unpredictable and it is easier to predict the conditional volatility of the daily return distribution due to persistence (clustering) in volatility.

In recent years a number of studies in high-frequency financial econometrics have

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Next-generation technologies and the future of trading

At a webinar in association with capital markets technology provider Numerix, panellists discuss the potential for increased adoption of the public cloud to boost investment performance, its impact on risk management and overcoming barriers to…

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