This document summarizes the findings and methodology of the LOB Micro-Regime Early Detection project, detailing the model, evaluation metrics, results, key findings, and reproducibility aspects.
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 version introduces key changes including the identification of pre-stress build-up and crisis regimes, a new method for detection via posterior entropy, and improvements in signal processing to reduce flooding.
