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Parkinson Versus Close to Close Volatility Estimators

The Parkinson volatility estimator provides an alternative to the close to close estimator for determining historical price volatility. It uses a range based sample interval - high() and low() price log returns in its estimates, instead of a fixed sample interval such as the close price log returns used by the close to close estimator. … Continue reading »

Automatic Validation of Trading Models

One of the significant challenges faced with creating your own trading models is validation of their correctness. Usually you find a model, implement it in your favourite language, then run some numbers through it to verify it. The verification is often the tricky part, as you simply cannot afford to make mistakes in your calculations. … Continue reading »