Work

Market regime classification with signatures

Year: 2021

Type: preprint

Abstract: We provide a data-driven algorithm to classify market regimes for time series. We utilise the path signature, encoding time series into easy-to-describe objects, and provide a metric structure which establishes a connection between separation of regimes and clustering of points.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.2107.00066

Authors: Bilokon, Paul, Jacquier, Antoine, McIndoe, Conor

Institutions: Imperial College London, The Alan Turing Institute

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3173579402

Cites: 16

Cited by:

Related to: 20