Sep 25 2020 19 mins 9
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.
