Abstract
A regime change is considered to be a significant change in the trading behaviour of the financial market. Such changes are always related to the booms and crashes that occur in the financial market. Being able to detect regime change could lead both to a better understanding of and a further way to monitor the financial market. In this paper, we explain how to detect regime change using directional change, a data-driven approach. We also describe further research into the field of regime change detection, which include the definition and recognition of the category of different market regimes in the financial market.
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