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Tag: regime-switching
80 items with this tag.
May 22, 2026
Currency Carry Trade
forex
regime-switching
trading-strategy
May 22, 2026
Factor Timing
regime-switching
equities
profitability-claim
overfitting-risk
May 22, 2026
Financial Turbulence Index
regime-switching
equities
forex
transaction-costs
out-of-sample
May 22, 2026
Live Regime-Model Evidence Gap
regime-switching
hidden-markov-model
markov-chain
live-trading
profitability-claim
backtest
May 22, 2026
Maximum Likelihood Estimation
hidden-markov-model
regime-switching
academic-paper
May 22, 2026
Median Filter Smoothing
regime-switching
hidden-markov-model
transaction-costs
out-of-sample
May 22, 2026
Recent Developments 2024-2025
regime-switching
hidden-markov-model
reinforcement-learning
markov-decision-process
backtest
out-of-sample
transaction-costs
overfitting-risk
replication
academic-paper
May 22, 2026
Regime Classification
regime-switching
hidden-markov-model
trading-strategy
out-of-sample
transaction-costs
May 22, 2026
Steelman — Best Case for Markov Trading Models
regime-switching
hidden-markov-model
markov-chain
reinforcement-learning
profitability-claim
out-of-sample
transaction-costs
academic-paper
replication
May 22, 2026
Tactical Asset Allocation
trading-strategy
regime-switching
out-of-sample
equities
May 22, 2026
Volatility Regime
regime-switching
hidden-markov-model
equities
May 22, 2026
Cryptocurrency Market
crypto
reinforcement-learning
regime-switching
hidden-markov-model
overfitting-risk
backtest
transaction-costs
trading-strategy
May 22, 2026
DAX
equities
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
May 22, 2026
EUR USD Currency Pair
forex
markov-chain
regime-switching
reinforcement-learning
transaction-costs
May 22, 2026
Nikkei 225
equities
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
May 22, 2026
S&P 500
equities
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
May 22, 2026
Baum-Welch Estimation
hidden-markov-model
regime-switching
academic-paper
May 22, 2026
Forward-Backward Algorithm
hidden-markov-model
regime-switching
academic-paper
May 22, 2026
Hidden Markov Model Regime Detection
model
markov
trading-research
hidden-markov-model
regime-switching
out-of-sample
transaction-costs
overfitting-risk
equities
academic-paper
May 22, 2026
Hidden Semi-Markov Model
hidden-markov-model
regime-switching
out-of-sample
overfitting-risk
academic-paper
May 22, 2026
K-Means Regime Clustering
regime-switching
machine-learning
academic-paper
May 22, 2026
Markov Regime-Switching Model
model
markov
trading-research
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
overfitting-risk
academic-paper
equities
May 22, 2026
Neural Regime Model
model
hidden-markov-model
regime-switching
reinforcement-learning
backtest
out-of-sample
overfitting-risk
academic-paper
May 22, 2026
Similarity-Based Regime Detection
regime-switching
machine-learning
academic-paper
May 22, 2026
Statistical Jump Model
model
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
equities
crypto
academic-paper
May 22, 2026
Viterbi Decoding
hidden-markov-model
regime-switching
academic-paper
May 22, 2026
AQR Capital Management
transaction-costs
equities
regime-switching
live-trading
profitability-claim
May 22, 2026
BlackRock
regime-switching
machine-learning
trading-strategy
live-trading
May 22, 2026
Bridgewater Associates
regime-switching
trading-strategy
live-trading
May 22, 2026
CFA Institute
academic-paper
regime-switching
hidden-markov-model
trading-strategy
May 22, 2026
Man Group
regime-switching
trading-strategy
live-trading
machine-learning
May 22, 2026
PIMCO
regime-switching
trading-strategy
live-trading
May 22, 2026
Quoniam Asset Management
regime-switching
academic-paper
May 22, 2026
State Street Associates
regime-switching
hidden-markov-model
trading-strategy
May 22, 2026
Two Sigma
regime-switching
machine-learning
live-trading
trading-strategy
May 22, 2026
Regime Changes and Financial Markets
academic-paper
regime-switching
markov
equities
forex
May 22, 2026
Identifying patterns in financial markets: extending the statistical jump model for regime identification
academic-paper
regime-switching
hidden-markov-model
replication
May 22, 2026
Simplicity versus Complexity: A Comparative Analysis of HMM and HSMM for Regime-Based Asset Allocation
academic-paper
hidden-markov-model
regime-switching
out-of-sample
overfitting-risk
equities
May 22, 2026
Time-Varying Transition Probabilities for Markov Regime Switching Models
academic-paper
regime-switching
markov-chain
non-stationarity
May 22, 2026
Bosancic Nie Mulvey 2024
academic-paper
regime-switching
hidden-markov-model
equities
profitability-claim
May 22, 2026
Regime-Based Strategic Asset Allocation
academic-paper
regime-switching
out-of-sample
May 22, 2026
Carry Trades and Currency Crashes
academic-paper
forex
regime-switching
May 22, 2026
Markov-switching Asset Allocation: Do Profitable Strategies Exist?
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
profitability-claim
equities
May 22, 2026
Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models
academic-paper
regime-switching
hidden-markov-model
crypto
May 22, 2026
What drives cryptocurrency returns? A sparse statistical jump model approach
academic-paper
regime-switching
crypto
replication
May 22, 2026
Why Do Regime-Switching Models Forecast So Badly?
academic-paper
regime-switching
hidden-markov-model
out-of-sample
forex
overfitting-risk
May 22, 2026
A Markov Model for Switching Regressions
academic-paper
regime-switching
markov-chain
May 22, 2026
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
academic-paper
regime-switching
markov-chain
hidden-markov-model
May 22, 2026
Regime Shifts: Implications for Dynamic Strategies (corrected)
academic-paper
regime-switching
out-of-sample
trading-strategy
May 22, 2026
Skulls, Financial Turbulence, and Risk Management
academic-paper
regime-switching
transaction-costs
equities
forex
May 22, 2026
Deep Reinforcement Learning for Optimal Trading with Partial Information
academic-paper
reinforcement-learning
regime-switching
markov-decision-process
transaction-costs
equities
May 22, 2026
Macroeconomic Regimes and Regime Shifts
academic-paper
regime-switching
markov-chain
overfitting-risk
May 22, 2026
Analysis of Investment Returns as Markov Chain Random Walk
academic-paper
markov-chain
equities
regime-switching
May 22, 2026
Regimes
academic-paper
regime-switching
profitability-claim
equities
May 22, 2026
Feature selection in jump models
academic-paper
regime-switching
hidden-markov-model
replication
May 22, 2026
Learning hidden Markov models with persistent states by penalizing jumps
academic-paper
regime-switching
hidden-markov-model
transaction-costs
replication
May 22, 2026
Tactical Asset Allocation with Macroeconomic Regime Detection
academic-paper
regime-switching
out-of-sample
equities
profitability-claim
May 22, 2026
Quandt's switching-regression papers: 'The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes' (1958) and 'A New Approach to Estimating Switching Regressions' (1972)
academic-paper
regime-switching
markov-chain
May 22, 2026
Dynamic Asset Allocation with Asset-Specific Regime Forecasts
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
profitability-claim
equities
commodities
May 22, 2026
Downside Risk Reduction Using Regime-Switching Signals: A Statistical Jump Model Approach
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
equities
May 22, 2026
Dynamic Factor Allocation Leveraging Regime-Switching Signals
academic-paper
regime-switching
hidden-markov-model
out-of-sample
transaction-costs
equities
profitability-claim
May 22, 2026
Stop-loss strategies with serial correlation, regime switching, and transaction costs
academic-paper
regime-switching
transaction-costs
backtest
equities
May 22, 2026
Regime-Switching Factor Investing with Hidden Markov Models
academic-paper
hidden-markov-model
regime-switching
out-of-sample
overfitting-risk
equities
May 22, 2026
Revisiting the Profitability of Market Timing with Moving Averages
academic-paper
regime-switching
backtest
out-of-sample
overfitting-risk
replication
equities
May 22, 2026
James D. Hamilton
regime-switching
markov-chain
hidden-markov-model
academic-paper
May 22, 2026
John Mulvey
regime-switching
hidden-markov-model
trading-strategy
May 22, 2026
Mark Kritzman
regime-switching
hidden-markov-model
trading-strategy
academic-paper
May 22, 2026
Peter Nystrup
regime-switching
hidden-markov-model
academic-paper
May 22, 2026
Petter Kolm
regime-switching
hidden-markov-model
academic-paper
May 22, 2026
HMM Parameter Instability
hidden-markov-model
regime-switching
transition-instability
overfitting-risk
out-of-sample
May 22, 2026
Lookahead Bias from Smoothed Regime Estimates
hidden-markov-model
regime-switching
out-of-sample
overfitting-risk
backtest
May 22, 2026
Non-Stationary Transition Matrix
markov-chain
regime-switching
non-stationarity
overfitting-risk
out-of-sample
May 22, 2026
Parameter Instability and Estimation Noise
regime-switching
overfitting-risk
out-of-sample
May 22, 2026
Real-Time Regime Identification Lag
regime-switching
out-of-sample
live-trading
overfitting-risk
May 22, 2026
Regime Misclassification
hidden-markov-model
regime-switching
out-of-sample
overfitting-risk
May 22, 2026
State-Count Selection
hidden-markov-model
regime-switching
model-risk
overfitting-risk
out-of-sample
May 22, 2026
Transaction Costs and Slippage
transaction-costs
backtest
profitability-claim
regime-switching
out-of-sample
May 22, 2026
0-1 Strategy
regime-switching
trading-strategy
hidden-markov-model
out-of-sample
May 22, 2026
Regime-Based Asset Allocation
trading-strategy
regime-switching
hidden-markov-model
transaction-costs
out-of-sample
equities
May 22, 2026
Style Factor Rotation
regime-switching
hidden-markov-model
trading-strategy
equities
profitability-claim