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
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