GARCH(p,q) Model and Exit Strategy for Intraday Algorithmic Traders

Forecasting future has always been a part of human untamed skill to posses. In an enjoyable Hollywood production of Next Nicolas Cage playing a character of Frank Cadillac has an ability to see the future just up to a few minutes ahead.

This allows him to take almost immediate actions to avoid the risks. Now, just imagine for a moment that you are an (algorithmic) intraday trader. What would you offer for a glimpse of knowing what is going to happen within following couple of minutes?

What sort of risk would you undertake? Is it really possible to deduce the next move on your trading chessboard? Most probably the best answer to this question is: it is partially possible.

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