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q-fin.ST2017
Biased Risk Parity with Fractal Model of Risk
Sergey Kamenshchikov, Ilia Drozdov
For the past two decades investors have observed long memory and highly correlated behavior of asset classes that does not fit into the framework of Modern Portfolio Theory. Custom…
q-fin.ST2015
Bifurcation patterns of market regime transition
Sergey Kamenshchikov
In this paper mechanisms of reversion - momentum transition are considered. Two basic nonlinear mechanisms are highlighted: a slow and fast bifurcation. A slow bifurcation leads to…
q-fin.ST2014
Transport catastrophe analysis as an alternative to a fractal description: theory and application to financial crisis time series
Sergey A. Kamenshchikov
The goal of this investigation was to overcome limitations of a persistency analysis, introduced by Benoit Mandelbrot for fractal Brownian processes: nondifferentiability, Brownian…