Enhancing Regime Shift Detection Using Unstructured Data: A Study on the Treasury Market

ArXi:2605.30363v1 Announce Type: cross Regime shifts in financial markets reorganise the joint dynamics of asset prices and macro variables, breaking any single-regime calibration. They are nonetheless difficult to detect reliably because the data signal is noisy and heavily multicollinear, while the contemporaneous text that announces them is unstructured. Standard regime shift detection methods rely solely on structured time-series data and ignore policy communications, even though these texts often signal shifts before they materialise in observed prices.