Risk Model Parameters
Institutional slippage analysis, volatility index computation, and dynamic risk parameter models. All metrics derived from 14 years of live market microstructure data.
I. Slippage Analysis Model
Slippage is modeled as a function of order size S, market impact coefficient κ, and instantaneous liquidity depth L(t). The expected slippage Σ for a given instrument is:
Σ(S) = κ · (S / L(t))^α + ε(t)
where α ∈ [0.4, 0.7] for liquid FX pairs, ε(t) ~ N(0, σ²_market)
| Instrument | Avg Slippage (pip) | Std Dev σ | κ Coeff. | L(t) M5 Avg | SOR Reduction | Risk Class |
|---|---|---|---|---|---|---|
| EUR/USD | 0.12 | ±0.04 | 0.031 | 4.2B | -68% | LOW |
| GBP/USD | 0.18 | ±0.06 | 0.044 | 2.8B | -61% | LOW |
| XAU/USD | 0.42 | ±0.18 | 0.092 | 1.4B | -47% | MEDIUM |
| USD/JPY | 0.16 | ±0.05 | 0.038 | 3.6B | -64% | LOW |
| BTC/USD | 4.80 | ±2.40 | 0.310 | 580M | -22% | HIGH |
| US30 | 1.20 | ±0.50 | 0.140 | 920M | -38% | MEDIUM |
| NAS100 | 0.90 | ±0.42 | 0.120 | 1.1B | -41% | MEDIUM |
II. Volatility Index (FI-VIX)
FundInsight Volatility Index (FI-VIX) is computed using a 30-day rolling EWMA of realized variance RV, adjusted for intraday jump diffusion components J(t):
EWMA Realized Variance
RV_t = (1-λ)·r²_t + λ·RV_{t-1}
λ = 0.94 (RiskMetrics standard)
FI-VIX Composite Score
FI-VIX = √(252 · RV_t) · (1 + J(t)/σ)
Annualized, adjusted for jump diffusion
| Asset | FI-VIX Score | RV_30d | EWMA λ | J(t) Jump Freq. | Regime | Recommendation |
|---|---|---|---|---|---|---|
| EUR/USD | 8.42 | 0.0024 | 0.94 | 0.12 / day | CALM | Full position |
| GBP/USD | 11.80 | 0.0048 | 0.94 | 0.21 / day | LOW-VOL | Full position |
| XAU/USD | 18.60 | 0.0092 | 0.94 | 0.44 / day | MODERATE | Reduce 20% |
| USD/JPY | 9.10 | 0.0031 | 0.94 | 0.15 / day | CALM | Full position |
| BTC/USD | 64.20 | 0.0880 | 0.94 | 3.20 / day | HIGH-VOL | Reduce 60% |
| US30 | 16.40 | 0.0074 | 0.94 | 0.38 / day | MODERATE | Reduce 15% |