Skulls, Financial Turbulence, and Risk Management

208 citations recorded by the source corpus.

Citations in the corpus

Working Paper # 0001 January 5 , 2012 A Survey of Systemic Risk Analytics (2012, unknown): “Mahalonobis distance metric of Kritzman and Li (2010) is a statistical model that could, in principle, be applied to any time series.”
Deep reinforcement learning for automated stock trading: an ensemble strategy (2020, unknown): “When turbulence t is higher than a threshold, which indicates extreme market conditions, we simply halt buying and the trading agent sells all shares.”
Systemic Risk and the Macroeconomy: An Empirical Evaluation (2016, unknown): “Turbulence (Kritzman and Li (2010)) Turbulence is a measure of excess volatility that compares the realized squared returns of financial institutions with their historical volatility: Turbulencet = (rt − μ)Σ(rt − μ) where rt is the vector of returns of financial institutions, and μ and Σ are the his”