Modeling of Financial Markets Taking into Consideration Various Market Regimes.
Posted: March 18th, 2016, 8:00 am
by Amin
I have written this post on LinkedIn and would like to share it with Wilmott friends. Your comments are very welcome. Please feel free to discuss or ask questions here or on LinkedIn Pulse.
https://www.linkedin.com/pulse/modeling ... ublished=t
Modeling of Financial Markets Taking into Consideration Various Market Regimes.
Posted: March 18th, 2016, 4:09 pm
by DavidJN
My initial impression is that I would not use the word regime to distinguish between periods of different market sentiment. To me, the word regime would be better used to connote different market microstructure characteristics like the presence of high frequency trading or dark pools, the geopolitical situation, the degree to which an underlying is closely held (i.e. liquidity), significant tax changes, etc. But I will have a closer look.