Journal of Mathematical Techniques and Computational Mathematics(JMTCM)

OIS Market Research Group, Alberta iela 1-7, Riga , LV-1050, Latvia

Publications

• Research Article   
  The Talebian Architecture of Survival in Nonlinear Markets: The Clock of Regimes Model*
  Author(s): Oscar Linares* and Ričards Bulavs
  
  This paper introduces the Clock of Regimes (COR) model, a new class of regime-switching model characterized by the N = −K−1 operator. In a conventional Hidden Markov Model (HMM), persistence is encoded implicitly in the diagonal elements of the transition matrix A, the aii. A large value of aii indicates that regime i tends to persist, but this representation captures only one-step persistence—the probability of remaining in the state at the next instant. It does not represent the cumulative temporal probability mass generated by remaining there. Under the HMM, regime St evolves according to A, with implied expected spell length Eτi = 11−aii. If aii = 1, residence time becomes infinite and the process becomes structurally non-ergodic. Treating conditional persistence as permanence replaces stochastic dw.. Read More»
  

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