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.

Summary:

  • 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.

premiumRead The Full Premium Article

Subscribe to receive exclusive PREMIUM content here