Which market moves most violently?

TimeCorrosion · Jul 20, 2007

Hi all:

I have devised and tested a strategy using the standard Black-Scholes and a qualified random walk model, and I have found a strongly positive expectancy in this strategy. I have also tested it in real life with indices such as DJX, and results were as I had expected.

My experiences are limited to currencies, equities, and equity indices. I am considering trading a more volatile market because of the positive expectancy even in a random walk (under an acceptable constraint), and volatility means potential.

My question is, Which market is most liquid and most volatile? Debt, individual stocks, equity indices, commodities, currencies?

Thanks for any suggestions.

Red_Ink_inc · Jul 20, 2007

Hang Seng futures (HSI) are known for being a tad nutty.

rcj · Jul 20, 2007

Quote from Red_Ink_inc:

Hang Seng futures (HSI) are known for being a tad nutty.

Yep, HSI goes crazzzy at times. CL can get jumpy as well.

xiaodre · Jul 20, 2007

In addition to the above, natural gas is volatile. So are FOREX pairs USDJPY USDEUR and USDGBP...

Bitstream · Jul 20, 2007

Quote from rcj:

Yep, HSI goes crazzzy at times. CL can get jumpy as well.

ER2 pretty insane too...not as nutty as those two crack whores but it can still be wild.

xflat2186 · Jul 20, 2007

FOREX options trade at very low volatilities. I remember going years with dollar / yen volatilities in the single digits. I remember a stretch in dollar / gbp were volatilites were sub 5%

dandxg · Jul 20, 2007

Let's not forget the DAX, or the recent limit moves in grains.

Profitaker · Jul 20, 2007

Quote from TimeCorrosion:

Hi all:

I have devised and tested a strategy using the standard Black-Scholes and a qualified random walk model, and I have found a strongly positive expectancy in this strategy.

Not wishing to piss on your chips, but I would be absolutely amazed if that were the case.

TimeCorrosion · Jul 23, 2007

Healthy skepticism is always welcome. I didn't believe it myself at first, but after so many trials, I am convinced. But please note that it is a "qualified" random walk, and it works only under some "acceptable constraints." It is still quite possible that I lose big. Fortunately, in events that brought down Long Term Capital Management and all hellish correlations go to one, I would probably be okay.

Quote from Profitaker:

Not wishing to piss on your chips, but I would be absolutely amazed if that were the case.

atticus · Jul 23, 2007

Quote from xiaodre:

In addition to the above, natural gas is volatile. So are FOREX pairs USDJPY USDEUR and USDGBP...

FX vols are hitting decade, and in some cases, historic lows: