Change-Point Detection for Financial Regimes

Purpose

Comprehensive guide for detecting regime changes in financial time-series using Gaussian Process change-point detection (GP-CPD), essential for segmenting markets into stationary periods and improving trading strategies.

When to Use

Activate this skill when:

• Segmenting time-series into distinct regimes
• Detecting structural breaks or market transitions
• Constructing context sets for few-shot learning
• Identifying momentum crashes or reversals
• Analyzing volatility regime changes
• Building regime-aware trading models

Core Concepts

1. What is a Regime Change?