### Forums

### Blogroll

### Search

### Archives

- August 2015
- July 2015
- June 2015
- May 2015
- April 2015
- March 2015
- February 2015
- January 2015
- December 2014
- November 2014
- October 2014
- September 2014
- August 2014
- July 2014
- June 2014
- May 2014
- April 2014
- December 2012
- November 2012
- September 2011
- June 2011
- May 2011
- April 2011
- March 2011
- February 2011
- July 2010
- July 2009
- May 2009

### Categories

- Algo Design Language (6)
- Algo Strategy Engine (2)
- Algorithmic Trading (11)
- Alternative Investment (1)
- ARFIMA (1)
- ARMA (4)
- Asian markets (2)
- Binary Options (1)
- Black Noise (2)
- CAPM (1)
- Cointegration (7)
- Commodity Futures (3)
- Correlation (1)
- Correlation Dimension (1)
- Correlation Integral (1)
- CrashMetrics (1)
- Day Trading (2)
- Derivatives (3)
- Direction Prediction (4)
- Dispersion (1)
- Econometrics (7)
- Economics (1)
- Econophysics (2)
- Education (1)
- Emerging Markets (1)
- eMini Futures (4)
- Equity Curve (2)
- Equity Futures (1)
- ETFs (6)
- Factor Models (1)
- Fat Tails (3)
- FIGARCH (2)
- Financial Engineering (5)
- Fixed Income Futures (1)
- Forecasting (17)
- Fourier Transforms (2)
- Fractional Brownian Motion (2)
- Fractional Cointegration (2)
- Fractional Integration (3)
- Futures (9)
- GARCH (1)
- Genetic Programming (1)
- Graduate Programs (1)
- Granger Causality (1)
- Hedge Funds (3)
- Henon Attractor (1)
- High Frequency Finance (6)
- High Frequency Trading (9)
- Hurst Exponent (2)
- Hybrid Products (1)
- Interactive Brokers (1)
- Interest Rate Models (1)
- Jobs (1)
- Johansen (2)
- Julia (2)
- Kalman Filter (2)
- Kelly Criterion (2)
- Latency (1)
- Logistic Attractor (1)
- Logit Regression (2)
- Long Memory (4)
- Long/Short (1)
- Machine Learning (4)
- Market Efficiency (2)
- Market Microstructure (4)
- Market Timing (3)
- Markov Model (1)
- Markov State Models (1)
- Mathematca (1)
- Mathematica (6)
- Matlab (8)
- Mean Reversion (5)
- Metals (1)
- Model Review (1)
- Modeling (4)
- Momentum (2)
- Money Management (4)
- Monte Carlo (1)
- Multifactor Models (2)
- Natural Gas Futures (1)
- Nearest Neighbor (1)
- Neural Networks (1)
- Nonlinear Classification (2)
- Nonlinear Dynamics (2)
- Optimal f (2)
- Options (7)
- Order Flow (2)
- Pairs Trading (5)
- Pattern Trading (1)
- Performance Testing (1)
- Pink Noise (2)
- Portfolio Management (3)
- Principal Components Analysis (1)
- Programming (2)
- Purchasing Power Parity (1)
- Quant/Traders (1)
- Random Forrests (1)
- Recruitment (1)
- REGARCH (3)
- Regime Shifts (4)
- Regime Switching (2)
- Regression (1)
- Risk Management (2)
- S&P500 Index (9)
- Scalping (2)
- Seasonal Effects (1)
- Signal Processing (2)
- Spline Methods (1)
- Spread Trading (2)
- Statistical Arbitrage (8)
- Stochastic Differential Equations (1)
- Stochastic Process Control (1)
- Stock Market (1)
- Strange Attractor (1)
- Strategy Development (4)
- Support Vector Machines (1)
- Systematic Strategies (6)
- Time Series Modeling (5)
- Toxic Flow (2)
- TradeStation (4)
- Trading (9)
- Trading Technologies (3)
- Uncategorized (10)
- Unit Roots (1)
- Van Tharp (1)
- Venture Capital (1)
- VIX Index (14)
- Volatility ETF Strategy (10)
- Volatility Modeling (28)
- volatility sign prediction forecasting Engle (3)
- White Noise (3)
- Yield Curve Modeling (1)

### Tag Cloud

ADL ARFIMA ARMA Models Black Noise Direction Prediction ETFs Financial engineering Forecasting Fourier Transforms Fractional Brownian Motion Fractional Cointegration Fractional Integration Futures GARCH High Frequency Trading Jump Diffusion Kalman Filter Kurtosis Long Memory Machine Learning Market Microstructure Market Timing Mathematica MultiFactor Models Natural Gas Option Pricing Options Pairs Trading REGARCH Regime Shifts Robustness S&P500 Index Signal Processing Skewness Smile Statistical Arbitrage Stochastic Volatility Strategy Toxic Flow Tradestation Trading VIX Volatility Volatility Dynamics White Noise

# Category Archives: Black Noise

## Long Memory and Regime Shifts in Asset Volatility

This post covers quite a wide range of concepts in volatility modeling relating to long memory and regime shifts. The post discusses autocorrelation, long memory, fractional integration, black noise, white noise, Hurst Exponents, regime shift detections, Asian markets and various topics froms nonlinear dynamics. Continue reading

Posted in ARFIMA, Asian markets, Black Noise, Correlation Dimension, Correlation Integral, FIGARCH, Forecasting, Fractional Brownian Motion, Fractional Integration, Henon Attractor, Hurst Exponent, Logistic Attractor, Long Memory, Modeling, Nonlinear Dynamics, Pink Noise, Regime Shifts, Strange Attractor, Uncategorized, Volatility Modeling, White Noise
Tagged ARFIMA, Black Noise, Forecasting, Fractional Brownian Motion, Fractional Integration, Henon Attractor, Logistic Attractor, Long Memory, Regime Shifts, Strange Attractor, Volatility, Volatility Dynamics, White Noise
Comments Off on Long Memory and Regime Shifts in Asset Volatility