[R-SIG-Finance] What's are some go-to packages in R/Finance for detecting shocks in financial time series?

Whit Armstrong armstrong.whit at gmail.com
Tue Sep 29 00:38:15 CEST 2015


Not a package, but have a look at this paper.

Skulls, Financial Turbulence, and Risk Management
Mark Kritzman
Windham Capital Management

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1691756


On Mon, Sep 28, 2015 at 5:55 PM, Ilya Kipnis <ilya.kipnis at gmail.com> wrote:

> So, I'm back to researching trading strategies on volatility. However, as
> the mailing list knows, volatility ETFs are characterized by price shocks
> more often than not, causing rapid drawdowns. One example would be, say,
> the closing price of XIV from late April to mid-May in 2010, late 2011, the
> SPY correction in 2011, or the more recent one last month during the China
> meltdown.
>
> Does anyone have any R package that they can recommend for detecting such
> quick corrections in a systematic manner?
>
> Thanks a lot.
>
> -Ilya
>
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