Article Archive For Keyword: Measure by

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• A Nonparametric Performance Measure by Guy Brys and Luc Van Hof

  ARTICLE SYNOPSIS...A Nonparametric Performance Measure by Guy Brys and Luc Van Hof Many an indicator generates buy/sell signals, but how effective are they? We can measure the quality of such signals by embedding them into a fairly simple trading system. We will apply tw

AUTHOR: Guy Brys and Luc Van HofDATE: JAN 2003

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• Price path: a new volatility measure by Joanne Hill, Ph.D. and Matthew Celebuski

  ARTICLE SYNOPSIS...Price path: a new volatility measure by Joanne Hill, Ph.D. and Matthew Celebuski Many trading strategies rely on market levels or changes in those levels for allocation among asset classes. In an option replication program, such as portfolio insurance,

AUTHOR: Joanne Hill, Ph.D. and Matthew CelebuskiDATE: DEC 1988

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• Which Volatility Measure? by Gordon Gustafson

  ARTICLE SYNOPSIS...Which Volatility Measure? by Gordon Gustafson Is it true? Is average true range, an approximation, superior to standard deviation, the most beloved of quants, as a measure of volatility? Many traders use some measure of volatility to generate signals i

AUTHOR: Gordon GustafsonDATE: JUN 2001