signature-regime-detection

Code accompanying the paper "Non-parametric online market regime detection and regime clustering for multidimensional and path-dependent data structures", B. Horvath, Z. Issa, 2023.

Code used to run the experiments found in Section 4 onwards can be found in the notebooks folder. The repository is organized as follows:

1. data: Folder for storage of pre-calculated data assets. These include simulated paths, MMD scores, and so on.
2. src: Source code for the project.
3. notebooks: Step-by-step guides outlining each of the experiments shown in the paper. Includes:
   1. 4-online-regime-detection.ipynb: Subsections 4.1, 4.2, 4.3, 4.4 from the paper
   2. 4-higher-rank-mmd.ipynb: Subsection 4.5
   3. 4-detection-comparisons.ipynb: Subsection 4.6
   4. 4-non-markovian-detection.ipynb: Subsection 4.7
   5. 5-clustering-pathwise-regimes.ipynb: Section 5
   6. 6-real-data-experiments.ipynb: Section 6

Direct any questions to [email protected].

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All required packages can be found in requirements.txt.

Some users may have issues installing the higherOrderKME package, which is necessary to perform signature kernel MMD calculations.

This seems to be due to an issue with an older version of h5py.

If this is the case, we recommend manually installing higherOrderKME, removing the h5py requirement from setup.py.