Module regimes 

Regime Detection and Market State Tools

This module provides algorithms for identifying market regimes, such as volatility clustering, hidden Markov models (HMM), and changepoint detection.

Modules

analytics

Core Analytics and Diagnostics for Market Regimes

ensemble

Regime Ensemble and Voting

gmm

Gaussian Mixture Models (Two Sigma 2021)

hmm

Hidden Markov Models (Hamilton 1989)

hmm_gas

HMM-GAS (Score-Driven Transitions)

hsmm

Hidden Semi-Markov Models (HSMM)

india

India-Specific Regime Detection Helpers

ms_garch

Markov-Switching GARCH (MS-GARCH)

multi_asset

Multi-Asset Regime Detection

pelt

Changepoint Detection (Killick et al. 2012)

tar

Threshold Autoregressive (TAR / SETAR) Models

volatility_clustering

Volatility Regimes (Prakash et al. 2021)

Enums

MarketRegime

Represents common market regime states.