Forecasting Financial Markets with Classified Tactical Signals
نویسندگان
چکیده
The financial market dynamics can be characterized by macro-economic, micro-financial and market risk indicators, used as leading indicators by market professionals. In this article, we propose a method to identify market states integrating two classification algorithms: a Robust Kohonen Self-Organising Maps one and a CART one. After studying the market’s states separation using the former, we use the latter to characterize the economic conditions over time and to compute the conditional probabilities of related market states.
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