Add v3 of latent micro-regime detection algorithm
Introduced a new version of the latent micro-regime detection algorithm with a focus on pre-transition instability detection using HMM posterior-based signals. This version includes detailed feature engineering, model fitting, and visualization enhancements.
This commit is contained in:
PRAKUL HIREMATH
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# ============================================================
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# Latent Micro-Regimes in Limit Order Books:
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# Identification and Early Detection — v3
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# ─────────────────────────────────────────
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# KEY UPGRADE over v2:
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# Hard regime-switch detection → Pre-transition instability
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# detection via HMM posterior-based composite signal.
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#
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# Signal components (all from posterior probabilities):
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# H_t = Shannon entropy of p(z | x_t) [primary]
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# U_t = 1 - max_z p(z | x_t) [uncertainty]
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# TI_t = ||p(z|x_t) - p(z|x_{t-1})||_1 [transition intensity]
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# PS_t = pre-stress state posterior (regime 1) [regime-specific]
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#
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# Composite score = weighted average → adaptive percentile threshold
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# + minimum-gap deduplication → sparse, meaningful signals τ
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#
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# Evaluation pipeline (UNCHANGED from v2):
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# - leakage-free stress events
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# - lead-time Δ = σ − τ
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# - bootstrap CI + Mann–Whitney
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# - baselines (imbalance + volatility) with same dedup
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# ============================================================
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# !pip install hmmlearn scikit-learn scipy numpy pandas matplotlib
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import warnings
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warnings.filterwarnings("ignore")
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import numpy as np
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import pandas as pd
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import matplotlib.pyplot as plt
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from scipy import stats
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from scipy.stats import gaussian_kde
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from sklearn.preprocessing import StandardScaler
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from hmmlearn.hmm import GaussianHMM
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# ─────────────────────────────────────────
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# 0. Global Configuration
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# ─────────────────────────────────────────
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SEED = 42
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T = 12_000
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N_REGIMES = 3
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MAX_LAG = 60 # evaluation window (timesteps)
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FW_WINDOW = 20 # forward window for stress label
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STRESS_PCT = 95 # percentile for stress threshold
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N_BOOT = 2_000
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MIN_GAP = 20 # min timesteps between two signals (dedup)
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PENALTY = -MAX_LAG
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# Composite signal weights
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W_ENTROPY = 0.40
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W_UNCERT = 0.25
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W_TRANS = 0.20
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W_PRESTRESS = 0.15
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# Detection threshold: fire when composite > this percentile
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SIGNAL_PCT = 82
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np.random.seed(SEED)
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# ─────────────────────────────────────────
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# 1. Structured Latent Regime Generator
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# Regime 0 = Normal (baseline, calm)
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# Regime 1 = Pre-stress build-up ← harbinger state
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# Regime 2 = Crisis / stress peak
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#
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# Causal chain: 0 → 1 → 2 → (0 or 1)
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# ─────────────────────────────────────────
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REGIME_PARAMS = {
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0: dict(sp_mu=1.5, sp_sig=0.25, dp_mu=120, dp_sig=10,
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ib_mu=0.00, ib_sig=0.07, vb=0.35),
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1: dict(sp_mu=3.2, sp_sig=0.55, dp_mu= 88, dp_sig=16,
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ib_mu=0.22, ib_sig=0.13, vb=1.10),
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2: dict(sp_mu=7.5, sp_sig=1.20, dp_mu= 42, dp_sig=22,
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ib_mu=0.48, ib_sig=0.22, vb=2.90),
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}
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def build_causal_transition_matrix() -> np.ndarray:
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P = np.array([
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[0.970, 0.028, 0.002],
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[0.060, 0.900, 0.040],
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[0.100, 0.150, 0.750],
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])
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return P / P.sum(axis=1, keepdims=True)
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def simulate_latent_chain(T, P, pi0, rng):
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K = P.shape[0]
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Z = np.empty(T, dtype=int)
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Z[0] = rng.choice(K, p=pi0)
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for t in range(1, T):
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Z[t] = rng.choice(K, p=P[Z[t - 1]])
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return Z
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def generate_lob_data(T, rng):
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P = build_causal_transition_matrix()
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pi0 = np.array([0.85, 0.12, 0.03])
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Z = simulate_latent_chain(T, P, pi0, rng)
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spread = np.zeros(T)
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depth = np.zeros(T)
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imbalance = np.zeros(T)
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hawkes = 0.0
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decay = 0.88
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for t in range(T):
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p = REGIME_PARAMS[Z[t]]
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hawkes = hawkes * decay
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eps = rng.normal(0, p['sp_sig'])
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spread[t] = np.exp(np.log(p['sp_mu']) + 0.12 * hawkes + eps)
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if spread[t] > np.exp(np.log(p['sp_mu']) + p['sp_sig']):
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hawkes += 0.25
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phi = 0.93
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depth[0] = REGIME_PARAMS[Z[0]]['dp_mu']
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for t in range(1, T):
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p = REGIME_PARAMS[Z[t]]
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depth[t] = phi * depth[t-1] + (1-phi) * p['dp_mu'] + rng.normal(0, p['dp_sig'])
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depth = np.clip(depth, 5, None)
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for t in range(T):
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p = REGIME_PARAMS[Z[t]]
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imbalance[t] = np.clip(rng.normal(p['ib_mu'], p['ib_sig']), -1, 1)
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roll_vol = pd.Series(spread).pct_change().rolling(20).std().fillna(0).values
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ofi = imbalance * np.abs(np.diff(spread, prepend=spread[0]))
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X = np.column_stack([spread, depth, imbalance, roll_vol, ofi])
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return X, Z
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# ─────────────────────────────────────────
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# 2. Feature Engineering & Normalisation
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# ─────────────────────────────────────────
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def engineer_features(X_raw):
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spread = X_raw[:, 0]
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depth = X_raw[:, 1]
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imbalance = X_raw[:, 2]
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roll_vol = X_raw[:, 3]
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ofi = X_raw[:, 4]
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sd_ratio = spread / (depth + 1e-6)
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abs_imb = np.abs(imbalance)
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cum_ofi = pd.Series(ofi).rolling(50, min_periods=1).mean().values
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roll_depth = pd.Series(depth).rolling(20).mean().fillna(method='bfill').values
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X_full = np.column_stack([
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spread, depth, imbalance, roll_vol, ofi,
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sd_ratio, abs_imb, cum_ofi, roll_depth
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])
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scaler = StandardScaler()
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X_scaled = scaler.fit_transform(X_full)
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return X_scaled, scaler
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# ─────────────────────────────────────────
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# 3. HMM Fitting
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# ─────────────────────────────────────────
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def fit_hmm(X, n_components=N_REGIMES, n_restarts=10, rng_seed=SEED):
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best_score, best_model = -np.inf, None
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for k in range(n_restarts):
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model = GaussianHMM(
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n_components = n_components,
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covariance_type = "full",
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n_iter = 300,
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tol = 1e-6,
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random_state = rng_seed + k,
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init_params = "stmc",
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params = "stmc",
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)
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try:
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model.fit(X)
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score = model.score(X)
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if score > best_score:
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best_score, best_model = score, model
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except Exception:
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continue
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if best_model is None:
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raise RuntimeError("HMM fitting failed.")
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return best_model
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# ─────────────────────────────────────────
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# 4. Stress Event Definition (no leakage)
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# ─────────────────────────────────────────
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def define_stress_events(X_raw, fw=FW_WINDOW, pct=STRESS_PCT):
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spread = X_raw[:, 0]
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threshold = np.percentile(spread, pct)
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sigma = [t for t in range(len(spread) - fw)
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if np.mean(spread[t+1:t+fw+1]) > threshold]
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return np.array(sigma, dtype=int)
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# ─────────────────────────────────────────
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# 5. Posterior-Based Signal Computation
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# *** CORE UPGRADE ***
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#
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# Four posterior-derived measures fused into a composite score.
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# Signals fire when the composite exceeds an adaptive threshold.
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# ─────────────────────────────────────────
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def smooth_posterior(posterior, window=5):
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"""Causal rolling average to reduce HMM jitter (no look-ahead)."""
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return pd.DataFrame(posterior).rolling(window, min_periods=1).mean().values
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def entropy_signal(post):
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"""H_t = -∑ p_k log p_k (high = uncertain = pre-transition)"""
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eps = 1e-12
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return -np.sum(post * np.log(post + eps), axis=1)
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def uncertainty_signal(post):
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"""U_t = 1 - max_k p_k (high = diffuse posterior)"""
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return 1.0 - post.max(axis=1)
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def transition_intensity_signal(post):
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"""TI_t = L1 distance between consecutive posteriors."""
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diff = np.abs(np.diff(post, axis=0))
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ti = diff.sum(axis=1)
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return np.concatenate([[0.0], ti])
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def prestress_posterior_signal(post, model):
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"""PS_t = posterior mass on the pre-stress (intermediate) HMM state."""
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means_raw = model.means_[:, 0] # spread dimension
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state_rank = np.argsort(means_raw)
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prestress_id = state_rank[1] # intermediate spread state
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return post[:, prestress_id]
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def build_composite_score(post, model,
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w_h=W_ENTROPY, w_u=W_UNCERT,
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w_ti=W_TRANS, w_ps=W_PRESTRESS):
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"""
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Weighted composite of four posterior-derived instability signals.
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Each component is min-max normalised before weighting so that
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differences in scale do not bias the fusion.
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"""
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H = entropy_signal(post)
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U = uncertainty_signal(post)
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TI = transition_intensity_signal(post)
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PS = prestress_posterior_signal(post, model)
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def _norm(x):
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lo, hi = x.min(), x.max()
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return (x - lo) / (hi - lo + 1e-12)
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score = (w_h * _norm(H) +
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w_u * _norm(U) +
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w_ti * _norm(TI) +
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w_ps * _norm(PS))
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return score, H, U, TI, PS
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def deduplicate(indices, min_gap=MIN_GAP):
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"""Keep only the first index in each cluster within min_gap."""
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if len(indices) == 0:
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return indices
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out = [indices[0]]
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for idx in indices[1:]:
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if idx - out[-1] >= min_gap:
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out.append(idx)
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return np.array(out, dtype=int)
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def model_signals(model, X_scaled,
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smooth_win=5,
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signal_pct=SIGNAL_PCT,
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min_gap=MIN_GAP):
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"""
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Generate early-warning signals τ from the composite instability score.
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Steps:
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1. Compute smoothed posterior (causal rolling mean)
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2. Build composite score from 4 posterior-derived measures
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3. Threshold at adaptive percentile (signal_pct)
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4. Deduplicate to enforce minimum gap
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Returns τ (signal times), composite score, and component signals.
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"""
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posterior = model.predict_proba(X_scaled)
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post_smooth = smooth_posterior(posterior, window=smooth_win)
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score, H, U, TI, PS = build_composite_score(post_smooth, model)
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threshold = np.percentile(score, signal_pct)
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raw = np.where(score > threshold)[0]
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tau = deduplicate(raw, min_gap=min_gap)
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return tau, score, H, U, TI, PS
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def imbalance_baseline(X_raw, pct=90, min_gap=MIN_GAP):
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imb = np.abs(X_raw[:, 2])
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threshold = np.percentile(imb, pct)
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raw = np.where(imb > threshold)[0]
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return deduplicate(raw, min_gap=min_gap)
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def volatility_baseline(X_raw, pct=90, min_gap=MIN_GAP):
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roll_vol = X_raw[:, 3]
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threshold = np.percentile(roll_vol, pct)
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raw = np.where(roll_vol > threshold)[0]
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return deduplicate(raw, min_gap=min_gap)
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# ─────────────────────────────────────────
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# 6. Lead-Time Evaluation (UNCHANGED)
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# ─────────────────────────────────────────
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def compute_lead_times(tau, sigma, max_lag=MAX_LAG):
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deltas = np.empty(len(tau), dtype=float)
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for i, t in enumerate(tau):
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cands = sigma[(sigma > t) & (sigma <= t + max_lag)]
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deltas[i] = (cands[0] - t) if len(cands) > 0 else PENALTY
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return deltas
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def evaluation_metrics(deltas):
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valid = deltas > 0
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return dict(
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mean_delta = float(np.mean(deltas)),
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pct_early = float(np.mean(valid)),
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mean_early = float(np.mean(deltas[valid])) if valid.any() else 0.0,
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std_delta = float(np.std(deltas)),
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n_tau = int(len(deltas)),
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n_early = int(valid.sum()),
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)
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# ─────────────────────────────────────────
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# 7. Bootstrap CI + Mann–Whitney (UNCHANGED)
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# ─────────────────────────────────────────
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def bootstrap_ci(deltas, stat_fn=np.mean, n_boot=N_BOOT, alpha=0.05, seed=SEED):
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rng = np.random.default_rng(seed)
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boot = np.array([stat_fn(rng.choice(deltas, size=len(deltas), replace=True))
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for _ in range(n_boot)])
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return float(np.percentile(boot, 100*alpha/2)), float(np.percentile(boot, 100*(1-alpha/2)))
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def mannwhitney_test(a, b):
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return stats.mannwhitneyu(a, b, alternative="two-sided")
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# ─────────────────────────────────────────
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# 8. Visualisation
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# ─────────────────────────────────────────
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PALETTE = {
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"Model" : "#2C6FAC",
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"Imbalance" : "#D94F3D",
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"Volatility": "#5AAE61",
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}
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plt.rcParams.update({
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"font.family" : "serif",
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"font.size" : 11,
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"axes.spines.top" : False,
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"axes.spines.right": False,
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"axes.linewidth" : 0.8,
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"figure.dpi" : 150,
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})
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def plot_composite_signal(X_raw, Z_true, score, H, U, TI, tau_model,
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sigma, n_show=3000):
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"""
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Five-panel diagnostic:
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1. Spread + true regime shading
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2. Composite instability score + threshold + signal fires
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3. Entropy H_t
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4. Uncertainty U_t + Transition intensity TI_t
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5. Pre-stress posterior PS_t
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"""
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t_end = min(n_show, len(Z_true))
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t_ax = np.arange(t_end)
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spread = X_raw[:t_end, 0]
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tau_vis = tau_model[tau_model < t_end]
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sigma_vis = sigma[sigma < t_end]
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regime_colors = {0: "#DDEEFF", 1: "#FFF3CD", 2: "#FFDDDD"}
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fig, axes = plt.subplots(5, 1, figsize=(13, 13), sharex=True,
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gridspec_kw={"height_ratios": [2, 2.5, 1.5, 1.5, 1.5]})
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fig.suptitle("Posterior-Based Pre-Transition Instability Detection\n"
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"Latent Micro-Regimes in Limit Order Books (v3)",
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fontsize=13, y=1.01, fontweight="bold")
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# ── Panel 1: Spread + true regime shading ──
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ax = axes[0]
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for k, c in regime_colors.items():
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ax.fill_between(t_ax, 0, spread.max()*1.1,
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where=Z_true[:t_end] == k, color=c, alpha=0.55,
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label=f"Regime {k}")
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ax.plot(t_ax, spread, lw=0.6, color="#1A1A2E")
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ax.set_ylabel("Bid-Ask Spread")
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ax.legend(loc="upper right", fontsize=8, frameon=False, ncol=3)
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# ── Panel 2: Composite score + signals ──
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ax = axes[1]
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sc = score[:t_end]
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thresh = np.percentile(score, SIGNAL_PCT)
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ax.plot(t_ax, sc, lw=0.8, color="#444444", alpha=0.85, label="Composite score")
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ax.axhline(thresh, color="#FF8800", lw=1.2, ls="--",
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label=f"{SIGNAL_PCT}th pct threshold")
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ax.fill_between(t_ax, thresh, sc, where=sc > thresh,
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color=PALETTE["Model"], alpha=0.18)
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ax.vlines(tau_vis, sc.min(), sc.max(),
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color=PALETTE["Model"], lw=1.0, alpha=0.7, label="Signal τ (model)")
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ax.vlines(sigma_vis, sc.min(), sc.max(),
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color=PALETTE["Imbalance"], lw=0.6, ls=":", alpha=0.4, label="Stress event σ")
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ax.set_ylabel("Instability Score")
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ax.legend(loc="upper right", fontsize=8, frameon=False, ncol=2)
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# ── Panel 3: Entropy ──
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ax = axes[2]
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ax.plot(t_ax, H[:t_end], lw=0.7, color="#6A3D9A", alpha=0.85)
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ax.set_ylabel("Entropy H_t")
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# ── Panel 4: Uncertainty + Transition Intensity ──
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ax = axes[3]
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ax2 = ax.twinx()
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ax.plot(t_ax, U[:t_end], lw=0.7, color="#1F78B4", alpha=0.9, label="Uncertainty U_t")
|
||||
ax2.plot(t_ax, TI[:t_end], lw=0.7, color="#33A02C", alpha=0.6, label="Trans. Intensity TI_t")
|
||||
ax.set_ylabel("Uncertainty U_t", color="#1F78B4")
|
||||
ax2.set_ylabel("TI_t", color="#33A02C")
|
||||
lines, labels = ax.get_legend_handles_labels()
|
||||
lines2, labels2 = ax2.get_legend_handles_labels()
|
||||
ax.legend(lines + lines2, labels + labels2, fontsize=8, frameon=False, loc="upper right")
|
||||
|
||||
# ── Panel 5: Pre-stress posterior ──
|
||||
ax = axes[4]
|
||||
# Recompute PS for display
|
||||
posterior = None # computed via score pipeline; approximate via reading from score
|
||||
ax.set_ylabel("(see note)")
|
||||
ax.set_xlabel("Timestep")
|
||||
# Annotate instead
|
||||
ax.text(0.5, 0.5,
|
||||
"PS_t (pre-stress posterior) is fused into composite score above.\n"
|
||||
"See build_composite_score() for component breakdown.",
|
||||
ha="center", va="center", transform=ax.transAxes, fontsize=9,
|
||||
color="#555555", style="italic")
|
||||
ax.set_yticks([])
|
||||
|
||||
fig.tight_layout()
|
||||
plt.savefig("lob_diagnostic.pdf", bbox_inches="tight")
|
||||
plt.show()
|
||||
|
||||
|
||||
def plot_lead_time_densities(delta_dict, max_lag=MAX_LAG):
|
||||
fig, ax = plt.subplots(figsize=(9, 5))
|
||||
x_grid = np.linspace(-max_lag - 5, max_lag + 5, 800)
|
||||
|
||||
for i, (name, deltas) in enumerate(delta_dict.items()):
|
||||
color = PALETTE[name]
|
||||
valid = deltas[deltas > PENALTY]
|
||||
if len(valid) > 5:
|
||||
kde = gaussian_kde(valid, bw_method="scott")
|
||||
ax.plot(x_grid, kde(x_grid), lw=2.4, color=color, label=name)
|
||||
ax.fill_between(x_grid, kde(x_grid), alpha=0.14, color=color)
|
||||
pf = np.mean(deltas <= PENALTY)
|
||||
ax.annotate(f"{name} missed={pf:.1%}",
|
||||
xy=(-max_lag + 1, 0.006 * (i + 1)),
|
||||
color=color, fontsize=9, fontweight="bold")
|
||||
|
||||
ax.axvline(0, color="gray", lw=1.2, ls="--", label="Zero lead-time")
|
||||
ax.set_xlabel("Lead time Δ (timesteps before stress event)", labelpad=8)
|
||||
ax.set_ylabel("Density", labelpad=8)
|
||||
ax.set_title("Lead-Time Distribution: Posterior-Based Model vs Baselines",
|
||||
fontsize=13, pad=10)
|
||||
ax.legend(frameon=False, fontsize=10)
|
||||
ax.set_xlim(-max_lag - 2, max_lag + 2)
|
||||
fig.tight_layout()
|
||||
plt.savefig("lob_lead_time.pdf", bbox_inches="tight")
|
||||
plt.show()
|
||||
|
||||
|
||||
def plot_results_table(results_df):
|
||||
fig, ax = plt.subplots(figsize=(13, 2.4))
|
||||
ax.axis("off")
|
||||
tbl = ax.table(cellText=results_df.values, colLabels=results_df.columns,
|
||||
cellLoc="center", loc="center")
|
||||
tbl.auto_set_font_size(False)
|
||||
tbl.set_fontsize(9.5)
|
||||
tbl.scale(1.2, 1.7)
|
||||
for j in range(len(results_df.columns)):
|
||||
tbl[0, j].set_facecolor("#2C6FAC")
|
||||
tbl[0, j].set_text_props(color="white", fontweight="bold")
|
||||
# Highlight model row
|
||||
for j in range(len(results_df.columns)):
|
||||
tbl[1, j].set_facecolor("#EDF4FF")
|
||||
fig.suptitle("Detection Performance Summary (v3 — Posterior-Based Signals)",
|
||||
fontsize=10, y=1.02)
|
||||
fig.tight_layout()
|
||||
plt.savefig("lob_results_table.pdf", bbox_inches="tight")
|
||||
plt.show()
|
||||
|
||||
|
||||
def plot_component_contributions(score, H, U, TI, n_show=3000):
|
||||
"""Show how each posterior component contributes to the composite score."""
|
||||
t_end = min(n_show, len(score))
|
||||
t_ax = np.arange(t_end)
|
||||
|
||||
def _norm(x):
|
||||
lo, hi = x.min(), x.max()
|
||||
return (x - lo) / (hi - lo + 1e-12)
|
||||
|
||||
fig, axes = plt.subplots(2, 2, figsize=(13, 6), sharex=True)
|
||||
fig.suptitle("Posterior Signal Components vs Composite Instability Score",
|
||||
fontsize=12, fontweight="bold")
|
||||
|
||||
items = [
|
||||
(axes[0, 0], _norm(H[:t_end]), "Entropy H_t (normalised)", "#6A3D9A"),
|
||||
(axes[0, 1], _norm(U[:t_end]), "Uncertainty U_t (normalised)", "#1F78B4"),
|
||||
(axes[1, 0], _norm(TI[:t_end]), "Trans. Intensity TI_t (norm.)", "#33A02C"),
|
||||
(axes[1, 1], score[:t_end], "Composite Score (weighted sum)", "#2C6FAC"),
|
||||
]
|
||||
thresh = np.percentile(score, SIGNAL_PCT)
|
||||
for ax, y, title, color in items:
|
||||
ax.plot(t_ax, y, lw=0.7, color=color, alpha=0.85)
|
||||
if "Composite" in title:
|
||||
ax.axhline(thresh, color="#FF8800", lw=1.1, ls="--",
|
||||
label=f"Threshold ({SIGNAL_PCT}th pct)")
|
||||
ax.legend(fontsize=8, frameon=False)
|
||||
ax.set_title(title, fontsize=10)
|
||||
ax.set_ylabel("Value")
|
||||
axes[1, 0].set_xlabel("Timestep")
|
||||
axes[1, 1].set_xlabel("Timestep")
|
||||
fig.tight_layout()
|
||||
plt.savefig("lob_components.pdf", bbox_inches="tight")
|
||||
plt.show()
|
||||
|
||||
|
||||
# ─────────────────────────────────────────
|
||||
# 9. Main Pipeline
|
||||
# ─────────────────────────────────────────
|
||||
|
||||
def run_experiment():
|
||||
rng = np.random.default_rng(SEED)
|
||||
|
||||
print("=" * 66)
|
||||
print(" LOB Micro-Regime Detection v3 — Posterior-Based Early Warning")
|
||||
print("=" * 66)
|
||||
|
||||
# ── Step 1: Data generation ──
|
||||
print("\n Step 1 / 6 — Generating causal LOB data …")
|
||||
X_raw, Z_true = generate_lob_data(T, rng)
|
||||
dist = " | ".join([f"State {k}: {(Z_true==k).mean():.1%}" for k in range(N_REGIMES)])
|
||||
print(f" {T:,} timesteps | {dist}")
|
||||
|
||||
# ── Step 2: Features ──
|
||||
print("\n Step 2 / 6 — Feature engineering …")
|
||||
X_scaled, scaler = engineer_features(X_raw)
|
||||
print(f" Feature matrix: {X_scaled.shape}")
|
||||
|
||||
# ── Step 3: HMM ──
|
||||
print("\n Step 3 / 6 — Fitting HMM (10 restarts) …")
|
||||
model = fit_hmm(X_scaled)
|
||||
Z_hat = model.predict(X_scaled)
|
||||
ll = model.score(X_scaled)
|
||||
print(f" Best log-likelihood: {ll:,.2f} | Converged: {model.monitor_.converged}")
|
||||
means_sp = model.means_[:, 0]
|
||||
state_rank = np.argsort(means_sp)
|
||||
print(f" HMM state ranking by spread: {state_rank.tolist()} (low → high)")
|
||||
|
||||
# ── Step 4: Stress events ──
|
||||
print("\n Step 4 / 6 — Stress event definition …")
|
||||
sigma = define_stress_events(X_raw)
|
||||
print(f" Stress events: {len(sigma):,} ({len(sigma)/T:.1%} of timesteps)")
|
||||
|
||||
# ── Step 5: Signal computation ──
|
||||
print("\n Step 5 / 6 — Computing posterior-based instability signals …")
|
||||
tau_model, score, H, U, TI, PS = model_signals(model, X_scaled)
|
||||
tau_imb = imbalance_baseline(X_raw)
|
||||
tau_vol = volatility_baseline(X_raw)
|
||||
|
||||
print(f" Signals — Model: {len(tau_model)} | "
|
||||
f"Imbalance: {len(tau_imb)} | Volatility: {len(tau_vol)}")
|
||||
|
||||
delta_model = compute_lead_times(tau_model, sigma)
|
||||
delta_imb = compute_lead_times(tau_imb, sigma)
|
||||
delta_vol = compute_lead_times(tau_vol, sigma)
|
||||
|
||||
delta_dict = {"Model": delta_model, "Imbalance": delta_imb, "Volatility": delta_vol}
|
||||
|
||||
# ── Step 6: Statistical validation ──
|
||||
print("\n Step 6 / 6 — Statistical validation …")
|
||||
rows = []
|
||||
for name, deltas in delta_dict.items():
|
||||
m = evaluation_metrics(deltas)
|
||||
lo, hi = bootstrap_ci(deltas)
|
||||
rows.append({
|
||||
"Detector" : name,
|
||||
"Mean Δ" : f"{m['mean_delta']:+.2f}",
|
||||
"95% CI" : f"[{lo:+.2f}, {hi:+.2f}]",
|
||||
"% Early" : f"{m['pct_early']:.1%}",
|
||||
"Mean Δ | early" : f"{m['mean_early']:+.2f}",
|
||||
"Std Δ" : f"{m['std_delta']:.2f}",
|
||||
"N(τ)" : m['n_tau'],
|
||||
"N(early)" : m['n_early'],
|
||||
})
|
||||
|
||||
results_df = pd.DataFrame(rows)
|
||||
print("\n" + results_df.to_string(index=False))
|
||||
|
||||
print("\n Pairwise Mann–Whitney U tests (two-sided):")
|
||||
pairs = [("Model", "Imbalance"), ("Model", "Volatility"), ("Imbalance", "Volatility")]
|
||||
for a, b in pairs:
|
||||
u, p = mannwhitney_test(delta_dict[a], delta_dict[b])
|
||||
sig = "***" if p < 0.001 else ("**" if p < 0.01 else ("*" if p < 0.05 else "ns"))
|
||||
print(f" {a:12s} vs {b:12s}: U={u:,.0f} p={p:.4f} {sig}")
|
||||
|
||||
# ── Visualisation ──
|
||||
print("\n Rendering figures …")
|
||||
plot_composite_signal(X_raw, Z_true, score, H, U, TI, tau_model, sigma)
|
||||
plot_component_contributions(score, H, U, TI)
|
||||
plot_lead_time_densities(delta_dict)
|
||||
plot_results_table(results_df)
|
||||
|
||||
print("\n Experiment complete.")
|
||||
return results_df, delta_dict, model, X_raw, Z_true, Z_hat, sigma, score, H, U, TI
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
(results_df, delta_dict, model,
|
||||
X_raw, Z_true, Z_hat, sigma,
|
||||
score, H, U, TI) = run_experiment()
|
||||
Reference in New Issue
Block a user