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Please use this identifier to cite or link to this item: http://arks.princeton.edu/ark:/88435/dsp01r207tr70f
Title: An Analysis of Momentum Trends in Volatility
Authors: Saxena, Alok
Advisors: Cheridito, Patrick
Department: Operations Research and Financial Engineering
Class Year: 2015
Abstract: The aim of this paper will be to investigate the topic of momentum in volatility. Momentum strategies have long been researched in standard securities such as stocks and bonds but little research has been done in studying momentum in volatility. We will start by discussing possible ways to quantify volatility and its corresponding momentum signals. Efforts will be made to design trading strategies that might be used to profit from any observed momentum patterns exhibited in various measures of volatility. Furthermore, we will attempt to understand more about the connection between standard asset returns and volatility trends, the predictive power that the momentum in volatility might have in forecasting equity returns, or vice versa. We will finally use our empirical results to modify existing volatility forecasting models such as the popular GARCH(1, 1) model, as well as stochastic volatility models such as the Heston Model.
Extent: 45 pages
URI: http://arks.princeton.edu/ark:/88435/dsp01r207tr70f
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Operations Research and Financial Engineering, 2000-2016

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