Questions tagged [market-regimes]
The market-regimes tag has no usage guidance.
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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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Transition Between Volatility Regimes
Emanuel Derman wrote a great paper in 1999 about volatility regimes and the adjustments the market makes during these periods (sticky strike, sticky implied tree, sticky delta, etc).
Has any ...
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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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What is a regime switch?
I've come across the term regime switch in volatilities when reading about the modelling of interest rates but could not find a definition for a regime switch and what a regime is.
Can somebody give ...
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