Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/245242 
Year of Publication: 
2019
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 7 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2019 [Pages:] 1-21
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
Market participants often invoke the concept of discrete state when discussing financial markets. Bull market, bear market, depression, and recession are all terms that map to discrete market states. Mental models of how markets behave in each state and transition between states are then applied to decision-making. Implicit to that approach is the assumption that states are persistent and recurrent over time. This article seeks to formalize notions of discrete market states by proposing a parsimonious and innovative approach to segmenting periods of time into discrete states. The technique is demonstrated and evaluated in a series of case studies.
Subjects: 
portfolio design
regimes
discrete states
clusters
modern portfolio theory
Markov
states
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.