Detecting market pattern changes: A machine learning approach

被引：6
|
作者：
Mustafa, Andy Ali [1 ]
Lin, Ching-Yang [2 ]
Kakinaka, Makoto [1 ]
机构：
[1] Hiroshima Univ, Grad Sch Int Dev & Cooperat, 1-5-1 Kagamiyama, Higashihiroshima, Hiroshima 7398529, Japan
[2] Int Univ Japan, Grad Sch Int Relat, 777 Kokusai Cho, Minamiuonuma, Niigata 9497277, Japan
来源：
FINANCE RESEARCH LETTERS | 2022年 / 47卷
关键词：
Machine learning application; US economy; Structural change;
D O I：
10.1016/j.frl.2021.102621
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We train an artificial neural network (ANN) model to recognize the pattern of the financial market and use this model to detect whether and when the market pattern has changed. Over 2000-2021, we find that the market has experienced five significant changes. The timings of these changes coincide with critical historical events (e.g. Great Recession and COVID-19) and changes in the monetary policy regime.
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页数：10
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