Our Models
Market Regime Clustering
The model provides a robust, distribution-based view of market regimes, enabling earlier and more reliable identification of structural shifts that traditional volatility or moment-based indicators often miss.
What it is
What is the Market Regime Model?
The Market Regime Model is a proprietary regime classification framework developed by 20Quant to identify distinct market states based on the full distribution of asset returns.
It is inspired by academic research on optimal transport and Wasserstein distance, and is designed to cluster overlapping return windows to characterise regime structure beyond volatility or parametric assumptions.
Distributional Foundations
Built on distribution-based clustering methods using Wasserstein distance rather than moments.
Regime Clustering
Groups overlapping return windows into distinct regimes based on empirical return behaviour.
Tail-Sensitive Designmmitment to Transparency
Captures skewness, tails, and jumps that traditional Gaussian-based models often miss.
Interpretable Outputs
Produces regime timelines, centroid diagnostics, and confidence scores suitable for governance.
Availability and coverage
Market Regime classifications and historical regime timelines are available across core equity markets and integrated within our broader regime and risk frameworks.
Why It’s Relevant
Why regime awareness changes risk perception
Structural regime shifts frequently emerge before volatility-based signals become informative.
Beyond Volatility
Identifies regime shifts driven by distributional change, not volatility or moment-based signals.
Earlier Regime Insight
Detects subtle structural transitions that often emerge before traditional risk indicators react.
Governance-Ready Classification
Provides interpretable, auditable regime labels suitable for disciplined risk and oversight frameworks.
