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Analyzing Market Dynamics: A Compreh...

Duckerhoff, Fabian,

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Analyzing Market Dynamics: A Comprehensive Model Using Macroeconomic, Sentiment and Fundamental Data for Regime Detection and Asset Allocation = = Analise de Dinamicas de Mercado: Um Modelo Abrangente que Utiliza Dados Macroeconomicos, de Sentimento e Fundamentais para a Detecao de Regimes e a Alocacao de Ativos /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Analyzing Market Dynamics: A Comprehensive Model Using Macroeconomic, Sentiment and Fundamental Data for Regime Detection and Asset Allocation =/ Fabian Duckerhoff.
Reminder of title:	Analise de Dinamicas de Mercado: Um Modelo Abrangente que Utiliza Dados Macroeconomicos, de Sentimento e Fundamentais para a Detecao de Regimes e a Alocacao de Ativos /
Author:	Duckerhoff, Fabian,
Description:	1 electronic resource (51 pages)
Notes:	Source: Masters Abstracts International, Volume: 86-05.
Contained By:	Masters Abstracts International86-05.
Subject:	Investments. -
Online resource:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31702015
ISBN:	9798346592129

Analyzing Market Dynamics: A Comprehensive Model Using Macroeconomic, Sentiment and Fundamental Data for Regime Detection and Asset Allocation = = Analise de Dinamicas de Mercado: Um Modelo Abrangente que Utiliza Dados Macroeconomicos, de Sentimento e Fundamentais para a Detecao de Regimes e a Alocacao de Ativos /
Duckerhoff, Fabian,

Analyzing Market Dynamics: A Comprehensive Model Using Macroeconomic, Sentiment and Fundamental Data for Regime Detection and Asset Allocation =Analise de Dinamicas de Mercado: Um Modelo Abrangente que Utiliza Dados Macroeconomicos, de Sentimento e Fundamentais para a Detecao de Regimes e a Alocacao de Ativos /Fabian Duckerhoff. - 1 electronic resource (51 pages)

Source: Masters Abstracts International, Volume: 86-05.

This dissertation examines the development and application of a comprehensive financial indicator that incorporates macroeconomic, sentiment, and fundamental data. It is demonstrated that various market features, such as high mean returns and low volatility periods, can be clustered into regimes using well-known models like the Two-State Markov Switching Model and Principal Component Analysis. Important discoveries are obtained by combining the findings in a Combined Indicator. For example, both the Dotcom Bubble and the Global Economic Crisis provided early signals of a downturn based on the classification of regimes. However, when applying these models to investment strategies, further results from the out-of sample dataset suggest that, despite the potential of certain individual models to improve market timing and achieve greater risk-adjusted returns in the training set, these cannot be replicated consistently. Realistic market conditions, such as the inclusion of a time lag due to signaling and the introduction of transaction fees, thus limit the viability of an effective investment strategy. Nevertheless, the results of the dissertation and the prediction of the Combined Indicator itself can be useful and serve as support for asset allocation.

English

ISBN: 9798346592129Subjects--Topical Terms:

566987
Investments.

Analyzing Market Dynamics: A Comprehensive Model Using Macroeconomic, Sentiment and Fundamental Data for Regime Detection and Asset Allocation = = Analise de Dinamicas de Mercado: Um Modelo Abrangente que Utiliza Dados Macroeconomicos, de Sentimento e Fundamentais para a Detecao de Regimes e a Alocacao de Ativos /
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520 $a This dissertation examines the development and application of a comprehensive financial indicator that incorporates macroeconomic, sentiment, and fundamental data. It is demonstrated that various market features, such as high mean returns and low volatility periods, can be clustered into regimes using well-known models like the Two-State Markov Switching Model and Principal Component Analysis. Important discoveries are obtained by combining the findings in a Combined Indicator. For example, both the Dotcom Bubble and the Global Economic Crisis provided early signals of a downturn based on the classification of regimes. However, when applying these models to investment strategies, further results from the out-of sample dataset suggest that, despite the potential of certain individual models to improve market timing and achieve greater risk-adjusted returns in the training set, these cannot be replicated consistently. Realistic market conditions, such as the inclusion of a time lag due to signaling and the introduction of transaction fees, thus limit the viability of an effective investment strategy. Nevertheless, the results of the dissertation and the prediction of the Combined Indicator itself can be useful and serve as support for asset allocation.
520 $a A presente dissertacao examina o desenvolvimento e a aplicacao de um indicador financeiro abrangente que incorpora dados macroeconomicos, de sentimento e fundamentais. E demonstrado que varias caracteristicas do mercado, tais como retornos medios elevados e periodos de reduzida volatilidade, podem ser agrupadas em regimes utilizando modelos conhecidos como o Modelo de Two-State Switching de Markov e a Analise de Componentes Principais. Descobertas importantes sao obtidas ao combinar resultados num Indicador Combinado. Por exemplo, tanto a bolha das Dotcom como a crise economica mundial proporcionaram sinais precoces de uma recessao com base na classificacao dos regimes. No entanto, ao aplicar estes modelos a estrategias de investimento, outros resultados do conjunto de dados excluidos da amostra sugerem que, apesar do potencial de determinados modelos individuais para melhorar o timing de mercado e obter retornos ajustados ao risco superiores no conjunto de teste, estes nao podem ser replicados de forma consistente. Condicoes de mercado realistas, como a inclusao de um desfasamento temporal devido a sinalizacao e a introducao de comissoes de transacao, limitam assim a viabilidade de uma estrategia de investimento eficaz. Nao obstante, os resultados da dissertacao e a previsao do proprio Indicador Combinado podem ser uteis e servir de apoio a alocacao de ativos.
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