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Hidden markov model on VIX

Anonymous Tue 20 Oct 19:13:06 2020 No.12253733 View Reply Original Report

Quoted By: >>12254064 >>12254843 >>12256233

hi /sci, need some assistance as i am an immigrant from biz, currently looking into classifying the VIX index into three categories, so I can sell options on high IV while at the same time making sure the volatility is in a retracement mode. Can anybody assist me with guidance as to how to apply hidden markov model to VIX ? zero coding knowledge

Anonymous

Anonymous Tue 20 Oct 2020 19:28:28 No.12253775 Report

Quoted By: >>12253791 >>12254042 >>12255509

that's probably a better question for /g/
this is a math & science board and cs isn't science

Anonymous

Anonymous Tue 20 Oct 2020 19:33:13 No.12253791 Report

Quoted By:

>>12253775
alright, i will try /g, cheers

Anonymous

Anonymous Tue 20 Oct 2020 20:35:53 No.12254042 Report

Quoted By:

>>12253775
g is just code monkeys. this question is better fit here

Anonymous

Anonymous Tue 20 Oct 2020 20:39:56 No.12254064 Report

Quoted By: >>12255496 >>12256032

>>12253733
Do you know what a markov chain is?
How do you plan to use a markov chain to model the VIX? You dont even have access to all of the parameters that affect it ( it would be impossible, pretty much a quantum computing problem)

Anonymous

Anonymous Tue 20 Oct 2020 23:57:09 No.12254843 Report

Quoted By: >>12256068

>>12253733
you are competing with companies that hire thousands of autistic savants and have access to supercomputers and massive amounts of data and you are asing 4chan for help lmao

Anonymous

Anonymous Wed 21 Oct 2020 03:54:17 No.12255496 Report

Quoted By:

>>12254064
I mean to be fair that is probably why he specified hidden markov model and not just a markov chain lol, but still probably a fools errand for anon.

Anonymous

Anonymous Wed 21 Oct 2020 03:58:01 No.12255509 Report

Quoted By:

>>12253775
based but misguided, he is asking for applied math help which is on-topic even if what he is attempting to do is retarded and motivated by greed.

Anonymous

Anonymous Wed 21 Oct 2020 08:08:13 No.12256032 Report

Quoted By:

>>12254064
>You dont even have access to all of the parameters that affect it
Which parameter do they effect it?

Anonymous

Anonymous Wed 21 Oct 2020 08:40:34 No.12256068 Report

Quoted By:

>>12254843
>you are competing with companies that hire thousands of autistic savants and have access to supercomputers
Doesn't matter unless he's doing arbitrage HFT.
Your bot can be profitable as long as it doesn't manage a big enough fund. Around 5 figures volume is when your bot becomes detectable to the players who would sabotage it, unless it's doing something the others haven't caught up on, then its strategy is pretty much immediately killed.

Anonymous

Anonymous Wed 21 Oct 2020 10:29:56 No.12256233 Report

Quoted By:

>>12253733
Hm, I do not know much about hidden Markov models, but I do know a bit about the VIX.
First off, I'd reccomend knowing exactly what the vix isn't and what it isnt
https://sixfigureinvesting.com/2018/09/best-volatility-white-papers-and-vix-white-papers/

Knowing about term structure (backwardation/contango) seems important to what you are trying to achieve.

Backtesting your models is important, so I can post some python code I use to get market data for free. You're probably gonna have to learn some programming to get what you want working with this, but backtesting (and backtesting properly) makes sure you're not going in with a complete garbage model.

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