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The Skinny on Quantitative Finance

Hidden Markov Models

The Skinny on Quantitative Finance

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Holistically classifying a volatility environment in real time is a relatively difficult task, and popular methods (e.g. inferring from the news, using technical/fundamental indicators) tend to be inconsistent and subjective.

Today we are going to talk about a quantitative approach to this problem: Hidden Markov Models.

Today Tom, Tony and Julia discuss Hidden Markov Models and how they can be used to classify volatility environments and detect volatility regime changes.

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