The aim of this paper is to present a method able to graphically describe the amount of structure in a time series. In the following, 'structure' is defined as the extent to which a time series is either trending or mean-reverting (that is showing pockets of positive as well as negative...

It is well known that volatilities and correlations of international stock markets tend to increase in times of financial instability. A dynamic rebalancing scheme is proposed where the underlying market volatility functions as a timing device and portfolio is only rebalanced when the underlying...