So, I'm back to researching trading strategies on volatility. However, as
the mailing list knows, volatility ETFs are characterized by price shocks
more often than not, causing rapid drawdowns. One example would be, say,
the closing price of XIV from late April to mid-May in 2010, late 2011, the
SPY correction in 2011, or the more recent one last month during the China
meltdown.
Does anyone have any R package that they can recommend for detecting such
quick corrections in a systematic manner?
Thanks a lot.
-Ilya
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