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Gaussian Mixture Models (Two Sigma 2021)
Source: Two Sigma (2021). “A Machine Learning Approach to Regime Modeling.” Foundational EM Algorithm: Dempster, A. P., Laird, N. M., & Rubin, D. B. (1977). “Maximum Likelihood from Incomplete Data via the EM Algorithm.” Journal of the Royal Statistical Society: Series B (Methodological), 39(1), 1-22.
Multi-variate clustering for latent market states using the Expectation-Maximization (EM) algorithm. This implementation uses diagonal covariance matrices for efficiency.
Structs§
- GMM
- A Gaussian Mixture Model for multi-factor regime detection.