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Short term<10 sec volatility model

For example we have Price time series (seconds or ticks) USD/EUR S...Sn 0.937 0.936 0.934 0. 933 0.935 etc and Momentum Series of r(1..n) r=S(n)-S(n-1) ******My qustion is simple************* Which ...
5
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773 views

Regime-Switching Model for detecting market shifts

I'm always wondering whether anyone has utilized regime-switching models successfully in forecasting or trading. Academia has long discussed this topic in-depth, such as using Regime Switching ...
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4answers
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How do I adjust a correlation matrix whose elements are generated from different market regimes?

Say I want to calculate a correlation matrix for 50 stocks using 3-year historical daily data. And there are some stocks that were recently listed for one year. This is not technically challenging ...
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3answers
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How to detect regime change when estimating asset correlation from historical time series?

Suppose I have two asset time series, $X_t$ and $Y_t$, and I'm estimating their correlation from historical data. I'd like to apply some systematic criterion to estimate what time window I should use ...
11
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2answers
1k views

How to build a regime-switching model which knows its own limits?

In recent months I've come to the conclusion that there are not only certain regimes in the markets (like bear or bull) but phases where all models fail because we are in uncharted territory. The ...