Опубликованные продукты
Structural breaks are regime changes in price behavior: sustained drifts and level shifts that invalidate the assumptions behind mean-reversion and trend systems alike. This scanner applies the Chu-Stinchcombe-White (CSW) CUSUM test (Homm and Breitung, 2012) to the log prices of every symbol on your watch list and tells you, at a glance, which markets are currently in a break state, in which direction, and how strong the evidence is relative to the statistical boundary. The test compares the cur