Structural Clustering of Volatility Regimes for Dynamic Trading Strategies

DOI10.1080/1350486X.2021.2007146zbMath1490.91200arXiv2004.09963OpenAlexW4220782948MaRDI QIDQ5075241

Max Menzies, Arjun Prakash, Nick James, Gilad Francis

Publication date: 10 May 2022

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.09963

zbMATH Keywords

trading strategiesspectral clusteringregime-switching modelchange point detectionvolatility modelling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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Uses Software

• cpm

Cites Work

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