Efficient Multi-Change Point Analysis to Decode Economic Crisis Information from the S&P500 Mean Market Correlation

Efficient Multi-Change Point Analysis to Decode Economic Crisis Information from the S&P500 Mean Market Correlation

Identifying macroeconomic events that are responsible for dramatic changes of economy is of particular relevance to understanding the overall economic dynamics. We introduce an open-source available efficient Python implementation of a Bayesian multi-trend change point analysis, which solves signifi...

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Bibliographic Details
Main Authors: Martin Heßler, Tobias Wand, Oliver Kamps
Format: Article
Language:English
Published: MDPI AG 2023-08-01
Series:Entropy
Subjects:
Bayesian multi-change point analysis
linear trend segment fit
computationally efficient open-source python implementation
<i>S&P500</i>
mean market correlation
market mode
Online Access:https://www.mdpi.com/1099-4300/25/9/1265

Internet

https://www.mdpi.com/1099-4300/25/9/1265

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