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Modeling of Financial Markets Taking into Consideration Various Market Regimes.
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Modeling of Financial Markets Taking into Consideration Various Market Regimes.
My initial impression is that I would not use the word regime to distinguish between periods of different market sentiment. To me, the word regime would be better used to connote different market microstructure characteristics like the presence of high frequency trading or dark pools, the geopolitical situation, the degree to which an underlying is closely held (i.e. liquidity), significant tax changes, etc. But I will have a closer look.