Structural clustering of volatility regimes for dynamic trading strategies

Arjun Prakash, Nick James, Max Menzies and Gilad Francis

Year of publication:	2021
Authors:	Prakash, Arjun ; James, Nick ; Menzies, Max ; Francis, Gilad
Subject:	change point detection \| regime-switching model \| spectral clustering \| trading strategies \| Volatility modelling \| Volatilität \| Volatility \| Markov-Kette \| Markov chain \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis \| Regionales Cluster \| Regional cluster \| Wertpapierhandel \| Securities trading \| Schätzung \| Estimation \| Clusteranalyse \| Cluster analysis

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