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Regime-Switching Model

Project description

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

Important links

* Official source code repo:


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


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

pip install -U --user regime_switch_model

* 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.

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

Project details

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