HMM-Based Classification of Stock Market Stages

Sergey Okun  This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.


  • Identifying the stage of the market enables traders to adjust their investment strategies to take advantage of the current market conditions.
  • The Hidden Markov Model allows us to determine the stock market stages.
  • We uncover patterns in the S&P500 index and VIX from January 1st, 2000 to April 6th, 2023 by using HMM to identify periods of bull and bear markets.

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