Detecting market pattern changes: A machine learning approach

Andy Ali Mustafa, Ching-Yang Lin and Makoto Kakinaka

Finance Research Letters, 2022, vol. 47, issue PA

Abstract: 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.

Keywords: Machine learning application; US economy; Structural change (search for similar items in EconPapers)
JEL-codes: C59 E44 G10 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005572

DOI: 10.1016/j.frl.2021.102621

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