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Event Type
Research Presentation
Academic Department
Mathematics and Statistics
Location
Dana Science Building, 2nd floor
Start Date
14-4-2023 1:30 PM
End Date
14-4-2023 3:00 PM
Description
Under the direction of Dr. Giancarlo Schrementi
The stock market frequently undergoes behavior modification due to a variety of factors such as changes in economic conditions, monetary policy, government policy, and investor sentiment. Such behavior modifications can be categorized by time periods called market regimes. It is important to detect regime changes to optimize quantitative trading and investment strategies. This research paper uses a Hidden Markov Model (HMM) to identify three main market regimes: bull, bear, and neutral, for the S&P 500 Index. The model infers the underlying regime state based on the visible asset returns data. Using the fact that companies in the index are categorized by the Global Industry Classification Standard (GICS), this paper compares the performance of the information technology and energy sectors in the varying regimes.
Stock Market Regime Detection
Dana Science Building, 2nd floor
Under the direction of Dr. Giancarlo Schrementi
The stock market frequently undergoes behavior modification due to a variety of factors such as changes in economic conditions, monetary policy, government policy, and investor sentiment. Such behavior modifications can be categorized by time periods called market regimes. It is important to detect regime changes to optimize quantitative trading and investment strategies. This research paper uses a Hidden Markov Model (HMM) to identify three main market regimes: bull, bear, and neutral, for the S&P 500 Index. The model infers the underlying regime state based on the visible asset returns data. Using the fact that companies in the index are categorized by the Global Industry Classification Standard (GICS), this paper compares the performance of the information technology and energy sectors in the varying regimes.