Retrospective Identification of Bull and Bear Markets: A New, But Simple Algorithm

21 Pages Posted: 19 Jan 2018

See all articles by Marcel Hoepfner

Marcel Hoepfner

Bielefeld University - Department of Business Administration and Economics

Date Written: January 2018

Abstract

There are different approaches for the detection of market phase changes in stock markets. Most of them utilize various assumptions and constraints which makes these methods somewhat arbitrary. This paper develops an algorithm which identifies bull and bear markets retrospectively in a very robust way without using exogenous parameters. At the same time the algorithm is very easy to execute, can be applied to several time series frequencies and is intended to identify rather longer subperiods than shorter ones. Knowing the different phases one can investigate a multitude of characteristics of bull and bear markets.

Keywords: bull market, bear market, time series, algorithm, market phase changes

JEL Classification: C14, C58, G10

Suggested Citation

Hoepfner, Marcel, Retrospective Identification of Bull and Bear Markets: A New, But Simple Algorithm (January 2018). Bielefeld Working Papers in Economics and Management No. 01-2018, Available at SSRN: https://ssrn.com/abstract=3105209 or http://dx.doi.org/10.2139/ssrn.3105209

Marcel Hoepfner (Contact Author)

Bielefeld University - Department of Business Administration and Economics ( email )

P.O. Box 100131
D-33501 Bielefeld, NRW 33501
Germany

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