TY  - GEN
AB  - There are different approaches for the detection of market phase changes in stock markets. Most
of them utilize various assumptions and constraints which makes these methods somewhat arbitrary.
This paper develops an algorithm which identifies bull and bear markets retrospectively in
a very robust way without using exogenous parameters. At the same time the algorithm is very
easy to execute, can be applied to several time series frequencies and is intended to identify rather
longer subperiods than shorter ones. Knowing the different phases one can investigate a multitude
of characteristics of bull and bear markets.
DA  - 2018
DO  - 10.4119/unibi/2916849
KW  - bull market
KW  - bear market
KW  - time series
KW  - algorithm
KW  - market phase changes
LA  - eng
PY  - 2018
SN  - 2196-2723
SP  - 21-
TI  - Retrospective Identification of Bull and Bear Markets: A new, but simple Algorithm
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29168499
Y2  - 2024-11-22T09:08:01
ER  -