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The Skinny on Quantitative Finance

Testing Hidden Markov Models

The Skinny on Quantitative Finance

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

In the last Skinny on Quantitative Finance, we showed how Hidden Markov Models can be used to quantitatively classify volatility environments and detect IV regime shifts in real time.

This week we are going to use HMMs to design a simple trading strategy, which we will compare to a benchmark option strategy in a backtest.

Join Julia, Tom and Tony as they discuss one example of how HMMs can be integrated into applied trading strategies.

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