Regime Change: An Update

Our latest research article is a follow up to the paper we published in April this year, where we introduced a framework for analysing and predicting regimes in the FX markets.

In this update we extend the research to predict regimes in terms of level, e.g. what is the probability over the next hour that USDJPY will be in a high volatility regime, whereas previously we were focused on changes in volatility. In addition, we publish out of sample performance results for a wider set of currency pairs, with the model having a predictive performance ranging between 70-90% for both volatility and liquidity regimes.

Please email contact@bestx.co.uk if you are a BestX client and would like to receive a copy of the paper.