Regime Modeling

1. Machine Learning Approach

• Botte, Alex, and Doris Bao. "A machine learning approach to regime modeling." Two Sigma (2021).

  • Gaussian Mixture Model on some regime features

  • Core Macro: Equity, credit, commodity, interest rates

  • Secondary Macro: emerging markets, foreign currency, local inflation, local equity
  • Macro styles: equity short volatility, fixed income carry, foreign exchange carry, trend following
  • Equity styles: low risk, momentum, quality, value, small cap