Category Archives: Fat Tails

Quantitative Analysis of Fat Tails – JonathanKinlay.com

In this quantitative analysis I explore how, starting from the assumption of a stable, Gaussian distribution in a returns process, we evolve to a system that displays all the characteristics of empirical market data, notably time-dependent moments, high levels of … Continue reading

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Regime-Switching & Market State Modeling

The Excel workbook referred to in this post can be downloaded here. Market state models are amongst the most useful analytical techniques that can be helpful in developing alpha-signal generators.  That term covers a great deal of ground, with ideas … Continue reading

Posted in ARMA, Econometrics, Fat Tails, Forecasting, Markov State Models, Regime Shifts | Tagged , , , | Comments Off