Market regime classification with signatures

We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that classifies price time series into periods of uninterrupted market growth (drawups) and regimes of uninterrupted market decrease (drawdowns). In combination with the Lagrange Regularization Method for detecting the beginning of a new market regime, we identify three major peaks and 10 additional smaller peaks, that have punctuated the dynamics of Bitcoin price during the analysed time period. We explain this classification of long and short bubbles by a number of quantitative metrics and graphs to understand the main socio-economic drivers behind the ascent of Bitcoin over this period. Then, a detailed analysis of the growing risks associated with the three long bubbles using the Log-Periodic Power-Law Singularity (LPPLS) model is based on the LPPLS Confidence Indicators , defined as the fraction of qualified fits of the LPPLS model over multiple time windows. Furthermore, for various fictitious ‘present’ times t 2 before the crashes, we employ a clustering method to group the predicted critical times t c of the LPPLS fits over different time scales, where t c is the most probable time for the ending of the bubble. Each cluster is proposed as a plausible scenario for the subsequent Bitcoin price evolution. We present these predictions for the three long bubbles and the four short bubbles that our time scale of analysis was able to resolve. Overall, our predictive scheme provides useful information to warn of an imminent crash risk.

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Momentum, Market Regime and Stocks & Options Trading Strategies

SSRN Electronic Journal ◽

10.2139/ssrn.3306329 ◽

2018 ◽

Author(s):

Oluwaseyi Awoga

Keyword(s):

Trading Strategies ◽

Market Regime ◽

Options Trading

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Did the Stock Market Regime Change after the Inauguration of the New Cabinet in Japan?

Business and Management Horizons ◽

10.5296/bmh.v2i1.5866 ◽

2014 ◽

Vol 2 (1) ◽

pp. 98

Author(s):

Chikashi Tsuji

Keyword(s):

Stock Market ◽

Stock Price ◽

Price Index ◽

Stock Exchange ◽

Markov Switching ◽

Sample Period ◽

Full Sample ◽

Markov Switching Models ◽

Switching Models ◽

Market Regime

This paper explored whether the Japanese stock market regime changed after the inauguration of the new Abe cabinet in Japan. Our application of Markov switching models to the Japanese stock price index returns and examinations of the price spreads in terms of the Japanese stock price indices derive the following evidence. First, (1) after the Abe cabinet started, regime of the Japanese stock markets changed. Second, (2) the regimes as to the JASDAQ Index and Tokyo Stock Exchange (TSE) Mothers Index more strongly and earlier changed than that of TOPIX. Third, (3) in our full sample period from January 4, 2011 to March 20, 2014, average positive price spreads over TOPIX were observed as to the JASDAQ, TSE Mothers, TOPIX Small, and TSE Second Section Index.

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