Questions tagged [market-regimes]
The market-regimes tag has no usage guidance.
21
questions
2
votes
0
answers
120
views
Structural Breaks/Changepoints vs Regimes
Structural break is defined as(taken from Introduction to Econometrics by Stock & Watson):
When the population regression function changes over the course of the sample"
Breaks can arise ...
- 21
0
votes
1
answer
50
views
Combining discontinuous opposing returns into a single continuous function
See the function here.
It's my intent to measure the expected log return of the optimal trade with regards to long/short positions in a trading range. The trading range has an equilibrium where the ...
- 103
1
vote
0
answers
163
views
Trying to recreate results from a research paper on HMM and Kolmogorov-Smirnov Test for forecasting regime switching on SP500
I am trying to recreate this research: Regime-Switching Factor Investing with Hidden Markov Models,
by Matthew Wang, Yi-Hong Lin and Ilya Mikhelson
https://www.mdpi.com/1911-8074/13/12/311/htm
My ...
- 113
4
votes
1
answer
368
views
PortfolioAnalytics and regime switching issue
I've been playing around with the R package PortfolioAnalytics and I have spent more time than I'm willing to admit to try and resolve this issue:
When I follow the regime switching example with the ...
- 41
1
vote
0
answers
73
views
Put-call parity under a regime-switching model
I need some help.
I'm given $J$ different regimes, each one characterized by its own parameters $(r_i, \delta_i,\sigma_i,...)$ with $i\in \mathcal{J}= \{1,2,...,J\}$ ($r$ = risk-free interest rate, $...
- 11
0
votes
0
answers
149
views
Is variance of residuals of Markov switching GARCH model regime specific?
I'm using MSGARCH package in R. By return_data/Volatility(fit.model), I get the residuals. When I calculate the standard deviation of the residuals, it turns out that it's close to 1 for all residuals....
- 1
1
vote
1
answer
152
views
How to simulate asset prices/returns that display market regimes?
Are there any techniques that can make a multivariate random number generating process for stock prices/returns, like geometric Brownian motion via Cholesky, also include the simulation of a finite ...
- 3,040
2
votes
0
answers
115
views
modelling known regime shifts
I wish to model a price time series with a known regime shift: electricity price before during and after the introduction of a carbon price. The time series looks like this:
you can see the jump in ...
- 121
1
vote
0
answers
38
views
Stochastic process with determinstic frequency of regime changes
Suppose that I have an OU process. For instance, assume that I want to model the interest rates. Suppose that regime change is known ex ante, and is deterministic in terms of frequency (For instance, ...
- 1,426
2
votes
0
answers
77
views
Risk-Neutral Pricing with Regime Switching
As the title suggests, I am currently trying to implement a dual regime-switching options pricing model. In its simplest form, I am fitting a risk-neutral GARCH(1,1) to a crash and normal regime. ...
- 173
1
vote
1
answer
87
views
Are Indices Regulated
Suppose that a bank (or any regulated body) wants to sell and ETF, replicating some index. Does that replicator have to adhere to the Basel accords?
Similarly, if a bank (or any regulated body) ...
- 373
1
vote
0
answers
51
views
Given historical performance of a financial index, how to categorise different historical periods depending on the market regime at the time?
We are trying to work on a Machine Learning application to attempt to predict market regime changes (bull, bear, stale?). Generally a ML algorithm needs well defined training data for establishing its ...
- 233
1
vote
1
answer
150
views
Value at Risk for normal r.v. with shock (regimes)
I am struggling to understand how was this simple Value-at-Risk calculated. It's Example 1 in Daníelsson, Jón, et al. "Fat tails, VaR and subadditivity." Journal of econometrics 172.2 (2013): 283-291 (...
19
votes
5
answers
15k
views
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 ...
- 410
11
votes
1
answer
2k
views
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 ...
- 745