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Quantitative Signals & Scoring

Regime Detection Probability

The statistical likelihood that a quantitative signal correctly identifies a shift in market regime or insider trading behavior pattern, measured as the conditional probability that observed signal characteristics align with known regime markers.

Formula

\textRDPt
Regime detection probability at time t
\textRegimek
Discrete regime class k from a predefined set of K regimes
\mathbfSt
Vector of observed signal features at time t
P(\mathbfSt | \textRegimek)
Likelihood of observing signal features given regime k
P(\textRegimek)
Prior probability of regime k based on historical frequency
Sources: Ang, A. & Bekaert, G. (2002), Regime Switches in Interest Rates, Journal of Business & Economic Statistics · ESMA Guidelines on insider trading and market manipulation surveillance systems