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Last Published 12/17/2024 2:48:41 AM By Tridion Admin
Using a “Human + Machine” Approach to Determine Financial Market Regimes
By Jennifer Wang, Zaid Shahzadeh, Bill Chung, Alvin Lee, Eric
Takigawa - S&P Global
Financial markets are volatile and unpredictable, but do they
display certain patterns that could be helpful in risk management
and portfolio allocation? We embarked on a 10-week journey and
applied a "human + machine" approach to our Totem dataset to try
and find some answers.
The journey started with the extraction of stock index implied
volatility time series for S&P 500 (SPX), Euro Stoxx 50 (SX5E),
Nikkei 225 (NKY) and Hang Seng (HSI) from the Totem Equity Implied
Volatility database. The time series covered January 2005 to June
2017, included more than 180,000 volatility data points, and
spanned across periods of major market turbulence, including the
2008 global financial crisis, 2010-2012 European sovereign debt
crisis and 2015 CNY devaluation shock, among many others.
Applying a "human + machine" data science approach to the Totem
dataset yielded interesting results and even more interesting
applications. You can read more about our findings by downloading
the full report.
Download the full report
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