Samuel Flegel

FERI Trust GmbH

Rathausplatz 8-10

Bad Homburg v.d.H, 61348

Germany

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The Better Turbulence Index? Forecasting Adverse Financial Markets Regimes with Persistent Homology

Number of pages: 41 Posted: 18 Dec 2019 Last Revised: 20 Dec 2019
Eduard Baitinger and Samuel Flegel
FERI Trust GmbH and FERI Trust GmbH
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Abstract:

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persistent homology, turbulence, regime shifts, investment strategy, topological data analysis