Anyone here trade correlations?

Rapunzel said:
Interesting approach. Lol. Can you elaborate?
More...
I'm working on Calibrating a model where there is a parameter that specifies the correlation between spx and vix . You are probably thinking of something like pairs trading tho. In practice this coefficients is usually -0.76 meaning vix pops when spx drops 75% of the time
 
stochastix said:
I'm working on Calibrating a model where there is a parameter that specifies the correlation between spx and vix . You are probably thinking of something like pairs trading tho. In practice this coefficients is usually -0.76 meaning vix pops when spx drops 75% of the time
More...

You can do correlation analysis without pairs trading.

wrbtrader
 
stochastix said:
I'm working on Calibrating a model where there is a parameter that specifies the correlation between spx and vix . You are probably thinking of something like pairs trading tho. In practice this coefficients is usually -0.76 meaning vix pops when spx drops 75% of the time
More...

Sounds intricate. What is a good outcome for your model e.g. maximum risk adjusted return, max drawdown given risk etc...

What are you trying to achieve via the correlation and how do you model it.
 
Rapunzel said:
Greetings, Just wondering if anyone here trades currency or other asset correlations as a main strategy.

How do you currently approach it?
More...

I only use it to avoid double exposure, which is hard today because stonks are all one market.
 
Rapunzel said:
Sounds intricate. What is a good outcome for your model e.g. maximum risk adjusted return, max drawdown given risk etc...

What are you trying to achieve via the correlation and how do you model it.
More...
Making a living by earning money what kind of question is that? The quadratic super rough lifted heston process .
 
You must log in or register to reply here.
Back
Top