A quantitative research tool that detects market regimes in equity index data using a Gaussian Hidden Markov Model (HMM) with 3 states (Bull/Trend, Transition, Crisis/Vol), then forecasts forward ...
self.A = self.normalize(np.random.rand(self.N, self.N)) self.B = self.normalize(np.random.rand(self.N, self.M)) self.pi = self.normalize(np.random.rand(self.N)) ...
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