regime-switch-model

Regime-Switching Model


License
BSD-3-Clause
Install
pip install regime-switch-model==0.1.1

Documentation

regime_switch_model

regime_switch_model is a set of algorithms for learning and inference of the Regime-Switching Model.

Important links

Dependencies

The required dependencies to use regime_switch_model are

  • Python >= 2.7
  • NumPy (tested to work with >=1.13.1)
  • SciPy (tested to work with >=0.19.0)
  • scikit-learn >= 0.18.1

Installation

First make sure you have installed all the dependencies listed above. Then run the following command:

pip install -U --user regime_switch_model

Tutorial

A tutorial illustrating how to use the code can be found here https://github.com/Liuyi-Hu/regime_switch_model/blob/master/examples/tutorial.ipynb

Reference

  • Ma, Ying, Leonard MacLean, Kuan Xu, and Yonggan Zhao. "A portfolio optimization model with regime-switching risk factors for sector exchange traded funds." Pac J Optim 7, no. 2 (2011): 281-296.

Credits

Part of the code are from Python package 'hmmlearn'. Their source code can be found here: https://github.com/hmmlearn/hmmlearn