#time-series

Articles tagged with #time-series

Changepoint Detection: Finding Regime Shifts in Financial Data
Markets do not stay in one regime. The S&P 500 can cruise at 10% annualised volatility for months, then a crisis hits and volatility doubles overnight. Any model trained on the calm period is useless
Jun 9, 202614 min read
Hidden Markov Models: When Clusters Have Memory
In the previous post, we clustered data into groups with K-Means and GMMs. Both methods assume observations are independent — each data point is analysed in isolation, with no regard for what came bef
Mar 31, 202615 min read