Can A Volatility Tsunami Be Predicted?

In algorithmic trading and risk management system development, a quest for the “holy grail” has been centered on creating a system that warns of forthcoming market volatility. While no system of risk management is perfect at warning about a significant stock market decline, Andrew Thrasher, a portfolio manager at Financial Enhancement Group, recently was the 2017 Charles Dow Award winner for a paper he wrote on “Forecasting a Volatility Tsunami.” In the paper, Andrew Thrasher makes the assertion that it is the suppression of volatility returns dispersion that has, in the past, led to higher market volatility. Andrew Thrasher -…