A Schrödinger-equation eigenvalue-gradient derived from a smoothed volatility envelope spikes before major peaks, detecting 7/8 events out-of-sample in VXO and VSTOXX, but the method is heavily parameter-tuned and shares its signal definition with the target events.
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Real-time identification of the onset of financial rogue waves
A Schrödinger-equation eigenvalue-gradient derived from a smoothed volatility envelope spikes before major peaks, detecting 7/8 events out-of-sample in VXO and VSTOXX, but the method is heavily parameter-tuned and shares its signal definition with the target events.