Continuous-Time Regime Propagation (CTRP)

Description

The Regime Switching Probabilistic Vector (RSPV), which provides a probabilistic representation of regime dynamics. The RSPV integrates (i) volatility estimation via HMMs, (ii) adaptive regime discretization, (iii) transition probability computation using a CTMC generator derived from Fermi’s Golden Rule (FGR), and (iv) the proximity probability to the mean-reversion value (MRV). RSPV is not a predictive model or a forecasting algorithm. Rather, it represents a probability geometry uncovered from market regime dynamics through physics-inspired transition mechanics. The RSPV encodes time-varying probability distributions across regimes, which downstream forecasting models can exploit as informative features.

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