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<!DOCTYPE html>
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<title>An Intelligent Market Cycle Detection System</title>
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<meta name="twitter:title" content="An Intelligent Market Cycle Detection System" />
<meta name="author" content="Michael S. Azer" />
<meta name="date" content="2020-11-25" />
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<li><a href="./">htttps://www.michaelazer.com/thesis</a></li>
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<li class="chapter" data-level="1" data-path="index.html"><a href="index.html"><i class="fa fa-check"></i><b>1</b> Introduction</a><ul>
<li class="chapter" data-level="1.1" data-path="index.html"><a href="index.html#statement-of-the-problem"><i class="fa fa-check"></i><b>1.1</b> Statement of the Problem</a></li>
<li class="chapter" data-level="1.2" data-path="index.html"><a href="index.html#objective"><i class="fa fa-check"></i><b>1.2</b> Objective</a></li>
<li class="chapter" data-level="1.3" data-path="index.html"><a href="index.html#significance"><i class="fa fa-check"></i><b>1.3</b> Significance</a></li>
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<li class="chapter" data-level="2" data-path="litrev.html"><a href="litrev.html"><i class="fa fa-check"></i><b>2</b> Literature Review</a><ul>
<li class="chapter" data-level="2.1" data-path="litrev.html"><a href="litrev.html#duration-dependence"><i class="fa fa-check"></i><b>2.1</b> Duration-dependence</a><ul>
<li class="chapter" data-level="2.1.1" data-path="litrev.html"><a href="litrev.html#definition"><i class="fa fa-check"></i><b>2.1.1</b> Definition</a></li>
<li class="chapter" data-level="2.1.2" data-path="litrev.html"><a href="litrev.html#turning-point-detection"><i class="fa fa-check"></i><b>2.1.2</b> Turning-point Detection</a></li>
<li class="chapter" data-level="2.1.3" data-path="litrev.html"><a href="litrev.html#cycle-length"><i class="fa fa-check"></i><b>2.1.3</b> Cycle Length</a></li>
<li class="chapter" data-level="2.1.4" data-path="litrev.html"><a href="litrev.html#cycle-synchronization"><i class="fa fa-check"></i><b>2.1.4</b> Cycle Synchronization</a></li>
<li class="chapter" data-level="2.1.5" data-path="litrev.html"><a href="litrev.html#bubbles-and-recessions"><i class="fa fa-check"></i><b>2.1.5</b> Bubbles and Recessions</a></li>
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<li class="chapter" data-level="2.2" data-path="litrev.html"><a href="litrev.html#established-cycles"><i class="fa fa-check"></i><b>2.2</b> Established Cycles</a><ul>
<li class="chapter" data-level="2.2.1" data-path="litrev.html"><a href="litrev.html#kondratiev"><i class="fa fa-check"></i><b>2.2.1</b> Kondratiev</a></li>
<li class="chapter" data-level="2.2.2" data-path="litrev.html"><a href="litrev.html#kuznets"><i class="fa fa-check"></i><b>2.2.2</b> Kuznets</a></li>
<li class="chapter" data-level="2.2.3" data-path="litrev.html"><a href="litrev.html#juglar"><i class="fa fa-check"></i><b>2.2.3</b> Juglar</a></li>
<li class="chapter" data-level="2.2.4" data-path="litrev.html"><a href="litrev.html#kitchin"><i class="fa fa-check"></i><b>2.2.4</b> Kitchin</a></li>
</ul></li>
<li class="chapter" data-level="2.3" data-path="litrev.html"><a href="litrev.html#classification-of-sp500"><i class="fa fa-check"></i><b>2.3</b> Classification of S&P500</a></li>
<li class="chapter" data-level="2.4" data-path="litrev.html"><a href="litrev.html#features-to-determine-phases"><i class="fa fa-check"></i><b>2.4</b> Features to determine phases</a><ul>
<li class="chapter" data-level="2.4.1" data-path="litrev.html"><a href="litrev.html#political-events"><i class="fa fa-check"></i><b>2.4.1</b> Political Events</a></li>
<li class="chapter" data-level="2.4.2" data-path="litrev.html"><a href="litrev.html#economic-factors"><i class="fa fa-check"></i><b>2.4.2</b> Economic Factors</a></li>
<li class="chapter" data-level="2.4.3" data-path="litrev.html"><a href="litrev.html#health-shocks-pandemics-and-epidemics"><i class="fa fa-check"></i><b>2.4.3</b> Health Shocks (Pandemics and Epidemics)</a></li>
<li class="chapter" data-level="2.4.4" data-path="litrev.html"><a href="litrev.html#financial-indicators"><i class="fa fa-check"></i><b>2.4.4</b> Financial Indicators</a></li>
</ul></li>
<li class="chapter" data-level="2.5" data-path="litrev.html"><a href="litrev.html#importance-of-features"><i class="fa fa-check"></i><b>2.5</b> Importance of features</a></li>
<li class="chapter" data-level="2.6" data-path="litrev.html"><a href="litrev.html#market-prediction"><i class="fa fa-check"></i><b>2.6</b> Market prediction</a></li>
</ul></li>
<li class="chapter" data-level="3" data-path="methodology.html"><a href="methodology.html"><i class="fa fa-check"></i><b>3</b> Methodology</a><ul>
<li class="chapter" data-level="3.1" data-path="methodology.html"><a href="methodology.html#data"><i class="fa fa-check"></i><b>3.1</b> Data</a></li>
<li class="chapter" data-level="3.2" data-path="methodology.html"><a href="methodology.html#techniques"><i class="fa fa-check"></i><b>3.2</b> Techniques</a></li>
</ul></li>
<li class="chapter" data-level="4" data-path="methodology.html"><a href="methodology.html#data"><i class="fa fa-check"></i><b>4</b> Data Preparation</a><ul>
<li class="chapter" data-level="4.1" data-path="data.html"><a href="data.html"><i class="fa fa-check"></i><b>4.1</b> Factors Tested</a></li>
<li class="chapter" data-level="4.2" data-path="data.html"><a href="data.html#testing-stationarity"><i class="fa fa-check"></i><b>4.2</b> Testing Stationarity</a></li>
<li class="chapter" data-level="4.3" data-path="data.html"><a href="data.html#recessions"><i class="fa fa-check"></i><b>4.3</b> Recessions</a></li>
<li class="chapter" data-level="4.4" data-path="data.html"><a href="data.html#sp500-index"><i class="fa fa-check"></i><b>4.4</b> S&P500 Index</a></li>
<li class="chapter" data-level="4.5" data-path="data.html"><a href="data.html#national-financial-conditions-index"><i class="fa fa-check"></i><b>4.5</b> National Financial Conditions Index</a></li>
<li class="chapter" data-level="4.6" data-path="data.html"><a href="data.html#industrial-production-index"><i class="fa fa-check"></i><b>4.6</b> Industrial Production Index</a></li>
<li class="chapter" data-level="4.7" data-path="data.html"><a href="data.html#real-government-consumption-expenditures-and-gross-investment"><i class="fa fa-check"></i><b>4.7</b> Real Government Consumption Expenditures and Gross Investment</a></li>
<li class="chapter" data-level="4.8" data-path="data.html"><a href="data.html#dollar-index"><i class="fa fa-check"></i><b>4.8</b> Dollar Index</a><ul>
<li class="chapter" data-level="4.8.1" data-path="data.html"><a href="data.html#trade-weighted-u.s.-dollar-index-advanced-foreign-economies-goods-and-services-dtwexafegs"><i class="fa fa-check"></i><b>4.8.1</b> Trade Weighted U.S. Dollar Index: Advanced Foreign Economies, Goods and Services (DTWEXAFEGS)</a></li>
<li class="chapter" data-level="4.8.2" data-path="data.html"><a href="data.html#trade-weighted-u.s.-dollar-index-broad-goods-and-services-dtwexbgs"><i class="fa fa-check"></i><b>4.8.2</b> Trade Weighted U.S. Dollar Index: Broad, Goods and Services (DTWEXBGS)</a></li>
<li class="chapter" data-level="4.8.3" data-path="data.html"><a href="data.html#trade-weighted-u.s.-dollar-index-major-currencies-goods-discontinued-dtwexm"><i class="fa fa-check"></i><b>4.8.3</b> Trade Weighted U.S. Dollar Index: Major Currencies, Goods (DISCONTINUED) (DTWEXM)</a></li>
<li class="chapter" data-level="4.8.4" data-path="data.html"><a href="data.html#trade-weighted-u.s.-dollar-index-broad-goods-discontinued-dtwexb"><i class="fa fa-check"></i><b>4.8.4</b> Trade Weighted U.S. Dollar Index: Broad, Goods (DISCONTINUED) (DTWEXB)</a></li>
</ul></li>
<li class="chapter" data-level="4.9" data-path="data.html"><a href="data.html#year-treasury-constant-maturity-rate-dgs10"><i class="fa fa-check"></i><b>4.9</b> 10-Year Treasury Constant Maturity Rate (DGS10)</a></li>
<li class="chapter" data-level="4.10" data-path="data.html"><a href="data.html#real-gross-domestic-product-gdpc1"><i class="fa fa-check"></i><b>4.10</b> Real Gross Domestic Product (GDPC1)</a></li>
<li class="chapter" data-level="4.11" data-path="data.html"><a href="data.html#unemployment-rate-unrate"><i class="fa fa-check"></i><b>4.11</b> Unemployment Rate (UNRATE)</a></li>
<li class="chapter" data-level="4.12" data-path="data.html"><a href="data.html#sp500-analysis"><i class="fa fa-check"></i><b>4.12</b> S&P500 Analysis</a><ul>
<li class="chapter" data-level="4.12.1" data-path="data.html"><a href="data.html#price-vs.recessions-line"><i class="fa fa-check"></i><b>4.12.1</b> Price vs. Recessions (Line)</a></li>
<li class="chapter" data-level="4.12.2" data-path="data.html"><a href="data.html#returns-vs.-recessions-line"><i class="fa fa-check"></i><b>4.12.2</b> Returns Vs. Recessions (Line)</a></li>
<li class="chapter" data-level="4.12.3" data-path="data.html"><a href="data.html#returns-vs.-recessions-box-plot"><i class="fa fa-check"></i><b>4.12.3</b> Returns Vs. Recessions (Box-plot)</a></li>
<li class="chapter" data-level="4.12.4" data-path="data.html"><a href="data.html#draw-downs-vs.recessions-line"><i class="fa fa-check"></i><b>4.12.4</b> Draw-downs vs. Recessions (Line)</a></li>
</ul></li>
<li class="chapter" data-level="4.13" data-path="data.html"><a href="data.html#fundamentals"><i class="fa fa-check"></i><b>4.13</b> Fundamentals</a><ul>
<li class="chapter" data-level="4.13.1" data-path="data.html"><a href="data.html#sp-500-pe-ratio"><i class="fa fa-check"></i><b>4.13.1</b> S&P 500 PE Ratio</a></li>
<li class="chapter" data-level="4.13.2" data-path="data.html"><a href="data.html#sp-500-earnings-yield-inverse"><i class="fa fa-check"></i><b>4.13.2</b> S&P 500 Earnings Yield (inverse)</a></li>
<li class="chapter" data-level="4.13.3" data-path="data.html"><a href="data.html#shiller-pe-ratio"><i class="fa fa-check"></i><b>4.13.3</b> Shiller PE Ratio</a></li>
<li class="chapter" data-level="4.13.4" data-path="data.html"><a href="data.html#sp-500-price-to-sales-ratio"><i class="fa fa-check"></i><b>4.13.4</b> S&P 500 Price to Sales Ratio</a></li>
<li class="chapter" data-level="4.13.5" data-path="data.html"><a href="data.html#sp-500-price-to-book-value"><i class="fa fa-check"></i><b>4.13.5</b> S&P 500 Price to Book Value</a></li>
<li class="chapter" data-level="4.13.6" data-path="data.html"><a href="data.html#sp-500-dividend-growth"><i class="fa fa-check"></i><b>4.13.6</b> S&P 500 Dividend Growth</a></li>
</ul></li>
<li class="chapter" data-level="4.14" data-path="data.html"><a href="data.html#seasonal-analysis"><i class="fa fa-check"></i><b>4.14</b> Seasonal Analysis</a><ul>
<li class="chapter" data-level="4.14.1" data-path="data.html"><a href="data.html#time-analysis-breakdown"><i class="fa fa-check"></i><b>4.14.1</b> Time Analysis Breakdown</a></li>
<li class="chapter" data-level="4.14.2" data-path="data.html"><a href="data.html#sarima"><i class="fa fa-check"></i><b>4.14.2</b> SARIMA?</a></li>
<li class="chapter" data-level="4.14.3" data-path="data.html"><a href="data.html#archgarch"><i class="fa fa-check"></i><b>4.14.3</b> ARCH/GARCH?</a></li>
<li class="chapter" data-level="4.14.4" data-path="data.html"><a href="data.html#fourier-analysis"><i class="fa fa-check"></i><b>4.14.4</b> Fourier Analysis</a></li>
</ul></li>
<li class="chapter" data-level="4.15" data-path="data.html"><a href="data.html#technical-analysis"><i class="fa fa-check"></i><b>4.15</b> Technical Analysis</a><ul>
<li class="chapter" data-level="4.15.1" data-path="data.html"><a href="data.html#moving-averages"><i class="fa fa-check"></i><b>4.15.1</b> Moving Averages</a></li>
<li class="chapter" data-level="4.15.2" data-path="data.html"><a href="data.html#relative-strength-indicator"><i class="fa fa-check"></i><b>4.15.2</b> Relative Strength Indicator</a></li>
<li class="chapter" data-level="4.15.3" data-path="data.html"><a href="data.html#commodity-channel-index"><i class="fa fa-check"></i><b>4.15.3</b> Commodity Channel Index</a></li>
</ul></li>
<li class="chapter" data-level="4.16" data-path="data.html"><a href="data.html#politics"><i class="fa fa-check"></i><b>4.16</b> Politics</a><ul>
<li class="chapter" data-level="4.16.1" data-path="data.html"><a href="data.html#days-to-next-presidential-elections"><i class="fa fa-check"></i><b>4.16.1</b> Days to next Presidential Elections</a></li>
<li class="chapter" data-level="4.16.2" data-path="data.html"><a href="data.html#political-party"><i class="fa fa-check"></i><b>4.16.2</b> Political Party</a></li>
</ul></li>
<li class="chapter" data-level="4.17" data-path="data.html"><a href="data.html#economics"><i class="fa fa-check"></i><b>4.17</b> Economics</a><ul>
<li class="chapter" data-level="4.17.1" data-path="data.html"><a href="data.html#national-financial-conditions-index-nfci"><i class="fa fa-check"></i><b>4.17.1</b> National Financial Conditions Index (NFCI)</a></li>
<li class="chapter" data-level="4.17.2" data-path="data.html"><a href="data.html#industrial-production-index-ipro"><i class="fa fa-check"></i><b>4.17.2</b> Industrial Production Index (IPRO)</a></li>
<li class="chapter" data-level="4.17.3" data-path="data.html"><a href="data.html#government-consumption-expenditures-and-gross-investment-gce"><i class="fa fa-check"></i><b>4.17.3</b> Government Consumption Expenditures and Gross Investment (GCE)</a></li>
<li class="chapter" data-level="4.17.4" data-path="data.html"><a href="data.html#unemployment-rate-unrate-1"><i class="fa fa-check"></i><b>4.17.4</b> Unemployment Rate (UNRATE)</a></li>
<li class="chapter" data-level="4.17.5" data-path="data.html"><a href="data.html#real-gross-domestic-product-gdpc1-1"><i class="fa fa-check"></i><b>4.17.5</b> Real Gross Domestic Product (GDPC1)</a></li>
<li class="chapter" data-level="4.17.6" data-path="data.html"><a href="data.html#personal-saving-rate-psavert"><i class="fa fa-check"></i><b>4.17.6</b> Personal Saving Rate (PSAVERT)</a></li>
<li class="chapter" data-level="4.17.7" data-path="data.html"><a href="data.html#disposable-personal-income-dspi"><i class="fa fa-check"></i><b>4.17.7</b> Disposable Personal Income (DSPI)</a></li>
<li class="chapter" data-level="4.17.8" data-path="data.html"><a href="data.html#real-manufacturing-and-trade-industries-sales-cmrmtspl"><i class="fa fa-check"></i><b>4.17.8</b> Real Manufacturing and Trade Industries Sales (CMRMTSPL)</a></li>
<li class="chapter" data-level="4.17.9" data-path="data.html"><a href="data.html#new-private-housing-units-authorized-by-building-permits-permit"><i class="fa fa-check"></i><b>4.17.9</b> New Private Housing Units Authorized by Building Permits (PERMIT)</a></li>
<li class="chapter" data-level="4.17.10" data-path="data.html"><a href="data.html#year-treasury-constant-maturity-rate-dgs10-1"><i class="fa fa-check"></i><b>4.17.10</b> 10-Year Treasury Constant Maturity Rate (DGS10)</a></li>
<li class="chapter" data-level="4.17.11" data-path="data.html"><a href="data.html#year-treasury-constant-maturity-minus-2-year-treasury-constant-maturity-t10y2y"><i class="fa fa-check"></i><b>4.17.11</b> 10-Year Treasury Constant Maturity Minus 2-Year Treasury Constant Maturity (T10Y2Y)</a></li>
<li class="chapter" data-level="4.17.12" data-path="data.html"><a href="data.html#year-treasury-constant-maturity-minus-federal-funds-rate-t10yff"><i class="fa fa-check"></i><b>4.17.12</b> 10-Year Treasury Constant Maturity Minus Federal Funds Rate (T10YFF)</a></li>
<li class="chapter" data-level="4.17.13" data-path="data.html"><a href="data.html#month-treasury-bill-minus-federal-funds-rate-tb6smffm"><i class="fa fa-check"></i><b>4.17.13</b> 6-Month Treasury Bill Minus Federal Funds Rate (TB6SMFFM)</a></li>
<li class="chapter" data-level="4.17.14" data-path="data.html"><a href="data.html#month-treasury-constant-maturity-minus-federal-funds-rate-t6mff"><i class="fa fa-check"></i><b>4.17.14</b> 6-Month Treasury Constant Maturity Minus Federal Funds Rate (T6MFF)</a></li>
<li class="chapter" data-level="4.17.15" data-path="data.html"><a href="data.html#coincident-economic-activity-index-for-the-united-states-usphci"><i class="fa fa-check"></i><b>4.17.15</b> Coincident Economic Activity Index for the United States (USPHCI)</a></li>
<li class="chapter" data-level="4.17.16" data-path="data.html"><a href="data.html#leading-index-for-the-united-states-usslind"><i class="fa fa-check"></i><b>4.17.16</b> Leading Index for the United States (USSLIND)</a></li>
</ul></li>
</ul></li>
<li class="chapter" data-level="5" data-path="results.html"><a href="results.html"><i class="fa fa-check"></i><b>5</b> Results</a><ul>
<li class="chapter" data-level="5.1" data-path="results.html"><a href="results.html#presidential-cycles-1"><i class="fa fa-check"></i><b>5.1</b> Presidential Cycles</a></li>
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<li class="chapter" data-level="6.2" data-path="conclusion.html"><a href="conclusion.html#further-research"><i class="fa fa-check"></i><b>6.2</b> Further Research</a><ul>
<li class="chapter" data-level="6.2.1" data-path="conclusion.html"><a href="conclusion.html#sp500-market-sectors"><i class="fa fa-check"></i><b>6.2.1</b> S&P500 Market Sectors</a></li>
<li class="chapter" data-level="6.2.2" data-path="conclusion.html"><a href="conclusion.html#consensus"><i class="fa fa-check"></i><b>6.2.2</b> Consensus</a></li>
<li class="chapter" data-level="6.2.3" data-path="conclusion.html"><a href="conclusion.html#fourier-analysis-matching"><i class="fa fa-check"></i><b>6.2.3</b> Fourier Analysis matching</a></li>
<li class="chapter" data-level="6.2.4" data-path="conclusion.html"><a href="conclusion.html#fourier-analysis-contractionexpansion"><i class="fa fa-check"></i><b>6.2.4</b> Fourier Analysis Contraction/Expansion</a></li>
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<li class="chapter" data-level="7" data-path="ref.html"><a href="ref.html"><i class="fa fa-check"></i><b>7</b> References</a></li>
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<li><a href="https://www.michaelazer.com" target="blank">Copyright © 2020 by Michael Azer</a></li>
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<i class="fa fa-circle-o-notch fa-spin"></i><a href="./">An Intelligent Market Cycle Detection System</a>
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<h1 class="title">An Intelligent Market Cycle Detection System</h1>
<p class="author"><em>Michael S. Azer</em></p>
<p class="date"><em>2020-11-25</em></p>
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<div id="introduction" class="section level1">
<h1><span class="header-section-number">Chapter 1</span> Introduction</h1>
<p>test</p>
<p>Very few economic phenomena attract more attention than the bull and bear market cycles do. The importance of bull markets to the financial community appears to be self-evident, and there is also agreement that bull markets are associated with persistently rising share prices, strong investor interest, and enhanced financial well-being.</p>
<p>Many of the important market turning points, such as the October 1987 stock market crash, are also well known. Despite this widespread popular agreement on the importance of bull markets, it can be noted that there still does not exist a general consensus as to the objective definition of a bull market. Until recently, many researchers believed in a random walk model with constant drift and therefore did not even agree that bull and bear markets are distinct financial economic phenomena, instead believing that they are the result of ex-post categorization of random data. This paper introduces a formal definition of bull and bear market cycles and examines whether the approach can be used to identify bull and bear markets that can be characterized as states with persistent and statistically significant differences in mean returns. The paper utilizes a formal turning-point procedure to objectively identify troughs and peaks in stock index series that indicate the starting and finishing points of bull markets, subject to the requirement that the intervening time intervals are sufficiently sustained to be economically meaningful. The procedure follows the algorithm developed by Bry and Boschan (1971) to determine turning points in the business cycle. Issues surrounding its implementation on stock markets have been highlighted in Pagan and Sossounov (2003).</p>
<p>The stock market turning-point identification procedure is implemented using two centuries of index return data, and analysis of the implementation highlights return evidence that indicates whether bull markets can be described as distinct investment return regimes. The analysis emphasizes the properties of bull markets that have a practical relevance to investors, including the persistence of return differences between bull and bear markets once return states have been detected, as well as the interrelationship between bull markets and investor interest. The strong binvestor interestQ aspect of bull markets is incorporated into the analysis by determining whether there is a relationship between bull markets and rising volume, a measure that is often considered to be an important indicator of investor sentiment towards the stock market. The Bry and Boschan (1971) turning-point determination algorithm is therefore applied to share trading volume data to identify periods of rising and falling volume. A surprising result that emerges from the analysis is the finding that time periods with falling volume are associated with considerably higher return volatility, whether a bear market exists. Time periods with falling volume can be associated with an increased likelihood of trading with informed traders, thus, information trading could play a role in the relationship between trading volume and volatility. We thank an anonymous referee for pointing this out.</p>
<p>This result has implications for asset return models that assume that bear markets can be identified as high-volatility states (Maheu & McCurdy, 2000). Once the properties of bull and bear market cycles are characterized and examined, the study investigates a number of useful related issues, including the possibility that bull and bear markets are exclusively a 20th century phenomenon. The study’s results provide insights into the persistent nature of stock market cycles. The paper’s analysis indicates that early warning signs of subsequent poor returns provided by share price index and volume turning points can be especially important to investors, as is the documentation of large and persistent return differences between bull and bear markets. Evidence on the interaction between bull markets and trading volume trends also raises interesting questions regarding investor sentiment effects.</p>
<p><span class="citation">(Gonzalez et al. <a href="#ref-gonzalez2005two">2005</a>)</span></p>
<p>This project focuses on developing an intelligent system that utilizes technical analysis enabling the identification of critical stock price cycle movements. The system should enable the identification of the following 8 stages in the stock cycle: Early Bull, Mid Bull, Late Bull, Top, Early Bear, Mid Bear, Late Bear, and Bottom.</p>
<div id="statement-of-the-problem" class="section level2">
<h2><span class="header-section-number">1.1</span> Statement of the Problem</h2>
<p>In general, methodologies that are conventionally used in research are not robust to determining asset price cycles; each arrives at different results. This project aims at determining stock price cycles using machine learning techniques on the S&P500 index. This paper presents a holistic analysis of factors affecting cycles. The dataset that is used in the clustering of the cycle phases incorporates political events, economic factors, as well financial indicators. After clusters are formed, the factors (or features) will be ranked according to importance for each phase.</p>
<!-- ## Definition of Terms -->
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<div id="objective" class="section level2">
<h2><span class="header-section-number">1.2</span> Objective</h2>
<p>The objective of the research is to analyze the possibility of determining the span of cycles in stock market prices in a robust way. Based on the identified cycles, investment length decisions can be made.
The research outcome will be delivered in the form of an application that can be used by investment companies to identify the current market stage of the stock market cycle.</p>
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<div id="significance" class="section level2">
<h2><span class="header-section-number">1.3</span> Significance</h2>
<p>The significance of this research is that it presents a new holistic method for segmentation of stock market cycles. In addition it finds important factors affecting each cycle phase along with their weights.</p>
<!-- ## Limitations -->
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<h3> References</h3>
<div id="refs" class="references">
<div id="ref-gonzalez2005two">
<p>Gonzalez, Liliana, John G Powell, Jing Shi, and Antony Wilson. 2005. “Two Centuries of Bull and Bear Market Cycles.” <em>International Review of Economics & Finance</em> 14 (4). Elsevier: 469–86.</p>
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