Artikel
Are financial market states recurrent and persistent?
Market participants often invoke the concept of discrete state when discussing financial markets. Bull market, bear market, depression, and recession are all terms that map to discrete market states. Mental models of how markets behave in each state and transition between states are then applied to decision-making. Implicit to that approach is the assumption that states are persistent and recurrent over time. This article seeks to formalize notions of discrete market states by proposing a parsimonious and innovative approach to segmenting periods of time into discrete states. The technique is demonstrated and evaluated in a series of case studies.
- Language
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Englisch
- Bibliographic citation
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Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 7 ; Year: 2019 ; Issue: 1 ; Pages: 1-21 ; Abingdon: Taylor & Francis
- Classification
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Wirtschaft
- Subject
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portfolio design
regimes
discrete states
clusters
modern portfolio theory
Markov
states
- Event
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Geistige Schöpfung
- (who)
-
Burkett, Matthew W.
Scherer, William T.
Todd, Andrew
- Event
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Veröffentlichung
- (who)
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Taylor & Francis
- (where)
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Abingdon
- (when)
-
2019
- DOI
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doi:10.1080/23322039.2019.1622171
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Burkett, Matthew W.
- Scherer, William T.
- Todd, Andrew
- Taylor & Francis
Time of origin
- 2019
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