Retrospective Identification of Bull and Bear Markets: A new, but simple Algorithm

Hoepfner M (2018) Universität Bielefeld Working Papers in Economics and Management; 01-18.
Bielefeld: Bielefeld University, Department of Business Administration and Economics.

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Diskussionspapier | Veröffentlicht | Englisch
Abstract / Bemerkung
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.
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01-18
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21
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Hoepfner M. Retrospective Identification of Bull and Bear Markets: A new, but simple Algorithm. Universität Bielefeld Working Papers in Economics and Management. Vol 01-18. Bielefeld: Bielefeld University, Department of Business Administration and Economics; 2018.
Hoepfner, M. (2018). Retrospective Identification of Bull and Bear Markets: A new, but simple Algorithm (Universität Bielefeld Working Papers in Economics and Management, 01-18). Bielefeld: Bielefeld University, Department of Business Administration and Economics. doi:10.4119/unibi/2916849
Hoepfner, M. (2018). Retrospective Identification of Bull and Bear Markets: A new, but simple Algorithm. Universität Bielefeld Working Papers in Economics and Management, 01-18, Bielefeld: Bielefeld University, Department of Business Administration and Economics.
Hoepfner, M., 2018. Retrospective Identification of Bull and Bear Markets: A new, but simple Algorithm, Universität Bielefeld Working Papers in Economics and Management, no.01-18, Bielefeld: Bielefeld University, Department of Business Administration and Economics.
M. Hoepfner, Retrospective Identification of Bull and Bear Markets: A new, but simple Algorithm, Universität Bielefeld Working Papers in Economics and Management, vol. 01-18, Bielefeld: Bielefeld University, Department of Business Administration and Economics, 2018.
Hoepfner, M.: Retrospective Identification of Bull and Bear Markets: A new, but simple Algorithm. Universität Bielefeld Working Papers in Economics and Management, 01-18. Bielefeld University, Department of Business Administration and Economics, Bielefeld (2018).
Hoepfner, Marcel. Retrospective Identification of Bull and Bear Markets: A new, but simple Algorithm. Bielefeld: Bielefeld University, Department of Business Administration and Economics, 2018. Universität Bielefeld Working Papers in Economics and Management. 01-18.
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2018-01-17T14:47:06Z

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