CubitBlack Description
Many of our clients and trial users have asked us to demonstrate how to create strategies and portfolios for CubitBlack. You can view the market log returns, conditional volatility and rolling volatility from our risk-controlled environment. The next five-day forecast is made using the auto-regressive algorithm. The training data set is from 2007 to 2014. Thereafter, the testing data set is used to forecast market volatility. We used the VIX front-month futures statistics to generate the hybrid conditional volatility needed for simulations. The simulation shows you the expected distributions of PL using VaR. Once we have a better understanding of the market's volatility forecast and variance risk, we can then explore opportunities in different sectors, industries, or securities.
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