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

Oleg Mubarakshin oleg.mubarakshin at gmail.com
Tue Sep 29 15:25:26 CEST 2015


Ilya,

equity assets (shares, indices, ETF, etc) have negative volatility 
correlation (skew in options) - volatility increases when price of asset go 
down, and vola decreases when price rises.

a quant trader can trade options (implied) vola level and skew VS  realized 
(historical) vola. it is matter of options trading only.

another way to trade volatility, I think (don't trade), it is spread or 
basket trading. in this case vol is a param to fill/dump trading position 
(portfolio, volume)

I have Bloomberg terminal and can help you with market data if you want

Best,
Oleg Mubarakshin

-----Исходное сообщение----- 
From: Ilya Kipnis
Sent: Tuesday, September 29, 2015 12:55 AM
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] What's are some go-to packages in R/Finance for 
detecting shocks in financial time series?

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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