regime_switching¶

Defined in fynance.research

regime_switching(n, *, regimes=((0.0, 0.01), (0.0, 0.03)), p_switch=0.02, s0=100.0, seed=None)[source]

Markov regime-switching price path.

At each step the active regime switches (to a uniformly-drawn regime) with probability p_switch; log-returns are then drawn from the active regime’s (mu, sigma). The varying volatility makes it a natural input for fynance.detect_regimes.

Parameters:

nint: Number of observations (path length).
regimestuple of (float, float): (mu, sigma) per regime.
p_switchfloat: Per-step probability of switching regime.
s0float: Initial price.
seedint, optional: Seed for reproducibility. None is nondeterministic.

Returns:

fynance.core.PriceSeries: Price path of length n.

Examples

>>> import numpy as np
>>> from fynance.research import regime_switching
>>> a, b = regime_switching(5, seed=3), regime_switching(5, seed=3)
>>> bool(np.allclose(a.to_numpy(), b.to_numpy()))
True