{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/market-regime-classification-with-signatures","title":"Market regime classification with signatures","arxiv_id":"2107.00066","date":"2021-06-30","proceeding":null,"authors":["Paul Bilokon","Antoine Jacquier","Conor McIndoe"],"abstract":"We provide a data-driven algorithm to classify market regimes for time series. We utilise the path signature, encoding time series into easy-to-describe objects, and provide a metric structure which establishes a connection between separation of regimes and clustering of points.","url_abs":"https://arxiv.org/abs/2107.00066v1","url_pdf":"https://arxiv.org/pdf/2107.00066v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"market-regime-classification-with-signatures","repo_url":"https://github.com/mcindoe/regimedetection","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"pytorch","reach":null}],"tasks":[{"task_slug":"classification-1","task_name":"Classification"},{"task_slug":"clustering","task_name":"Clustering"},{"task_slug":"time-series-1","task_name":"Time Series"},{"task_slug":"time-series","task_name":"Time Series Analysis"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}