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.
@article{arxiv.2107.00066,
title = {Market regime classification with signatures},
author = {Paul Bilokon and Antoine Jacquier and Conor McIndoe},
journal= {arXiv preprint arXiv:2107.00066},
year = {2021}
}