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Volatility Regimes (Prakash et al. 2021)
Source: Prakash, A., James, N., Menzies, M., & Francis, G. (2021). “Structural clustering of volatility regimes for dynamic trading strategies.” Applied Mathematical Finance, 28(3), 236-274.
Implementation of structural clustering of volatility regimes using rolling ATR and online K-Means. This module identifies discrete volatility states (e.g., Low, Medium, High) by clustering recent ATR values.
Structs§
- Volatility
Clusterer - A streaming volatility clusterer that identifies market regimes based on ATR.