Classification research / edition 2026.10
Market regime research library
Find the definition, information constraint or evaluation question behind a label.
Economic Cycle Versus Market State
Separate retrospective economic turning points from time-specific market classifications, then preserve the information set behind each label.
Regime Labels and Investment Decisions
Understand why a descriptive state is not a forecast or an instruction, and identify the separate evidence needed for a decision rule.
Growth and Inflation Quadrants
Define the two axes before naming the four quadrants, with special care over levels, changes, mixed frequencies, and data vintages.
Volatility and Liquidity States
Measure movement and tradability separately, distinguish market from funding liquidity, and avoid treating quiet observations as proof of resilience.
Threshold Classification
Build an auditable classification specification by declaring features, comparisons, equality behavior, uncertainty handling, and version boundaries.
Markov Switching and State Probabilities
Understand latent-state models, probability information sets, transition assumptions, and why a fitted state path is not decision-time validation.
Clustering and Label Stability
Distinguish a change in cluster identifiers from a change in membership, and assess geometry, time stability, and interpretation separately.
Rolling-Window Standardisation
Interpret standardized features relative to an explicit information-eligible window, with worked calculations showing why endpoint choices matter.
Observation, Release and Decision Times
A historical observation is not automatically historical knowledge. Separate the period measured, public release, usable receipt and decision cutoff before assigning a regime label.
Vintage Data and Revisions
Treat a revision as new information about an existing period. Preserve the earlier estimate, rebuild derived features consistently and separate decision-time classifications from retrospective descriptions.
Release Calendars and Time Zones
A scheduled release is an expectation, not proof of receipt. Preserve calendar versions, explicit time zones and observed publication evidence when ordering a research information set.
Missing, Stale and Late Inputs
Data quality states are not economic regimes. Distinguish absence, age and delayed arrival, then apply a predeclared policy without silently filling gaps with future information.
Versioned Regime Archives
An archive should explain why a label existed at a particular decision time. Preserve data, rules and timing evidence separately so later revisions remain interpretable.
Comparing Regime Classifications
Compare methods on the same eligible information, explain disagreements and avoid confusing agreement with accuracy. A useful comparison reveals rule sensitivity without inventing a true regime.
Filtered Versus Smoothed Probabilities
Filtered and smoothed state estimates condition on different information. Neither terminology nor a sharp probability chart proves that a fitted model was available at a historical decision.
Boundaries and Abstention
A precise threshold can produce a fragile label. Measure proximity in defined units, distinguish uncertainty sources and make any decision to withhold classification explicit and auditable.
Conditional Returns and the Sample Behind Them
Read regime-conditioned return summaries without confusing a large row count, a favorable average, or repeated exposure to one episode with independent evidence.
Building an Auditable Regime-Conditioned Backtest
Separate retrospective state descriptions from a chronological test of decisions, with explicit vintages, execution timing, training boundaries, and comparison rules.
Exposure Effects Are Not Automatically Regime Alpha
Distinguish changing market participation, benchmark-relative returns, and model-dependent alpha before attributing performance to regime information.
Turnover and the Cost of Changing States
Translate label changes into actual allocation changes, define turnover consistently, and keep invented cost assumptions separate from measured implementation evidence.
Benchmark and Universe Changes in Regime Research
Keep comparator changes, constituent eligibility, and return-series revisions visible so that a new research definition does not masquerade as new performance.
Transition Matrices When State Changes Are Scarce
Build and interpret transition counts without converting a short label history into precise forecasts, permanent states, or unsupported duration estimates.
Hysteresis, Confirmation, and the Cost of Waiting
Understand two distinct ways to stabilize classifications, including their memory, timing, missing-data rules, and limitations as evidence of a genuine state change.
Probability Calibration and What Confidence Can Mean
Define a verifiable probability target, distinguish calibration from discrimination and fitted-state confidence, and interpret small-sample scores without overstating them.