Algorithmic trading strategy, based on GARCH (1, 1) volatility and volume weighted average price of asset

Abstract

Algorithmic trading strategies have one of the most significant roles for the new era of financial market. Various Hedge funds, Mutual funds and other investment banks are widely using various algorithmic trading strategies for risk management and future volatility estimation for financial instruments. In this paper, we focus upon one algorithmic approach with the aspect of special case of GARCH model, its ability to deliver volatility forecasts and moving average with multiple weighted price of asset. This model is useful not only for modeling the historical process of volatility but also in giving us multi-period ahead forecasts and helps to give exact entry price.