Category Archives: Fat Tails

Crash-Protecting Your Portfolio With CrashMetrics

In a post on LinkedIn I referred to the concept of CrashMetrics and how it can be used for portfolio protection.  It’s a simple approach to the management of extreme risk that works rather well.  It can be summarized as … Continue reading

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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

Posted in Fat Tails, Mathematica, Regime Shifts, Regime Switching, Uncategorized, Volatility Modeling | Tagged , , , , , , | Comments Off on Quantitative Analysis of Fat Tails – JonathanKinlay.com

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 on Regime-Switching & Market State Modeling