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Greed/fear and leveraged long investors accelerates the fall in deed. But remember for every tick the mkt advances, someone is putting money at stake, for prices to fall nobody has to put up any money. Law of relativity..


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Stock market indices fall faster than they rise, in part, due to leveraged long investors. As individual stocks fall, investors must de-risk due to margin calls, and those margin calls may need to be met by selling other stocks. This causes correlations to increase as markets fall. This also causes indices to fall more quickly than they rise, since the ...


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So basically your question boils down to: How can markets be non-normal in the short run but (more) normal in the long run? The answer to that lies in the fact that certain assumptions of normality are not satisfied in the short run, one of them being independence. In the short run returns are just not independent (think e.g. volatility clustering) because ...


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As it was already mentioned. Try to read about Kalman filter and Markow Switching models. I have even seen some academic papers where authors tried to define MA length based on MSM or KF. Try to google it ...


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There exist a lot of way to choose risk factors and the choice differs according to the kind of underlying assets. In your case, particularly, since the portfolio is composed by currencies, I would choose the risk factors mainly among all the macroeconomic variables available in your dataset or data provider. After that, to choose on which of them basing ...



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