

Detecting changes in asset co-movement using the autoencoder reconstruction ratio
ARR aims to anticipate volatility patterns to provide signals for risk management and trading
CLICK HERE TO VIEW THE PDF
Detecting changes in asset co-movements is of great importance to financial practitioners, with numerous risk management benefits arising from the timely detection of breakdowns in historical correlations. Bryan Lim, Stefan Zohren and Stephen Roberts propose a real-time indicator to detect temporary increases in asset co-movements that they call the autoencoder reconstruction ratio (ARR), which measures how well a basket of asset returns can be modelled using a lower
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Investments
7 days in 60 seconds
Bank capital, margining and the return of FX
The week on Risk.net, December 12–18
Receive this by email