NBIM
Statistical changepoint detection for market regime identification
Built real-time market regime detection models using statistical changepoint detection algorithms at Norges Bank Investment Management. The models identified structural breaks in equity and Forex price series, classifying market states to inform trading decisions. Details remain confidential as the system is still in active use.
Trades Managed
$82M+
Outperformance
3.5 bps
Deployed To
Traders' Terminals