Category Archives: Fat Tails

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 , , , | 10 Comments