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Regime-Switching Model

Project description

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


Important links
===============

* Official source code repo: https://github.com/Liuyi-Hu/regime_switch_model

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


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


Project details


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0.1.1

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