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Identifying Bull and Bear Markets Algorithm by savita is a document available to read on EtoBox.
This paper presents a new algorithm, the IBB algorithm, for the retrospective identification of bull and bear markets in stock prices without relying on arbitrary exogenous parameters. The algorithm simplifies existing methods by detecting local maxima and minima to define market phases, allowing for the analysis of various time series frequencies. The IBB algorithm aims to provide a more robust and user-adjustable approach to identifying longer market subperiods.
- Author
- savita
- Language
- EN