16 votes

Regime-Switching Model for detecting market shifts

Windham Capital Management is using hidden markov models for their Risk Regime Strategies. Mark Kritzman, who is also CEO, has published an article about the general outline of the strategy (with ...
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  • 27k
10 votes

What is a regime switch?

Regime switching is another way to describe structural changes in a data series. For example, an inflation timeseries may change states from ARMA to linear as the economy moves from a period of ...
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  • 939
9 votes
Accepted

What is a regime switch?

The idea of regime switching in volatility is rooted in the observation that volatility is usually fairly consistent and "mild", and occasionally very high, say during a market crash. The concept goes ...
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  • 288
7 votes

Transition Between Volatility Regimes

I don't know about sticky implied tree, but for sticky strike and sticky implied delta the classification is not that dead end as onlyvix.blogspot.com might think. Look at Lorenzo Bergomi's Smile ...
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6 votes

What is a regime switch?

Intuition : Lets observe the U.S. ex post real interest rates from 1961 to 1986 : At first look it is not easy to identify different states of the economy. Now lets apply an econometric model that ...
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5 votes

What is a regime switch?

One of the most famous definition of Regimes and Regime Switching in Financial Markets comes from Wyckoff Cycle Wyckoff believed that prices judged by supply and demand, go through periods of advance,...
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3 votes
Accepted

Are Indices Regulated

I believe that Basel Accords are not directly imposed on banks. Instead they are global recommendations. But in practice, all national financial regulators (e.g. FCA in UK) adopt Basel guidelines as ...
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  • 8,089
2 votes

How to simulate asset prices/returns that display market regimes?

Maybe a "statistical mechanics" approach - paper at https://arxiv.org/pdf/1907.04925.pdf and code at https://uk.mathworks.com/matlabcentral/fileexchange/72000-canonical-ensemble-for-time-...
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2 votes

Regime-Switching Model for detecting market shifts

One of the most famous definition of Regimes and Regime Switching in Financial Markets comes from Wyckoff Cycle. Wyckoff believed that prices judged by supply and demand, go through periods of advance,...
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1 vote

What is a regime switch?

For example if you think the volatility of short term rates is 0.1 during economic exapansions and 0.15 during recessions, then that would be a very simple regime switch model. The parameters of the ...
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  • 9,617
1 vote

Regime switching model getting data

I think the VIX index is a good example of what you are looking for.
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  • 266
1 vote

Comprehensive List of Regime Switching/Change-Point Detection Models

An Evaluation of Change Point Detection Algorithms might be of use.
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