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- W3191725512 abstract "We develop a new method to find the number of volatility regimes in a nonstationary financial time series by applying unsupervised learning to its volatility structure. We use change point detection to partition a time series into locally stationary segments and then compute a distance matrix between segment distributions. The segments are clustered into a learned number of discrete volatility regimes via an optimization routine. Using this framework, we determine a volatility clustering structure for financial indices, large-cap equities, exchange-traded funds and currency pairs. Our method overcomes the rigid assumptions necessary to implement many parametric regime-switching models, while effectively distilling a time series into several characteristic behaviours. Our results provide significant simplification of these time series and a strong descriptive analysis of prior behaviours of volatility. This empirical analysis could be used with other regime-switching implementations, justifying the parametric structure encoded in any candidate model. Finally, we create and validate a dynamic trading strategy that learns the optimal match between the current distribution of a time series and its past regimes, thereby making online risk-avoidance decisions in the present." @default.
- W3191725512 created "2021-08-16" @default.
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- W3191725512 date "2020-01-01" @default.
- W3191725512 modified "2023-09-25" @default.
- W3191725512 title "Structural clustering of volatility regimes for dynamic trading strategies" @default.
- W3191725512 hasPublicationYear "2020" @default.
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