Trends in financial markets: uncovering the distribution of intensity and duration

Rumana, Afrin Sadia

Trends in financial markets: uncovering the distribution of intensity and duration

dc.contributor.advisor	Wu, Jingjing
dc.contributor.advisor	Lu, Xuewen
dc.contributor.author	Rumana, Afrin Sadia
dc.contributor.committeemember	Deardon, Rob
dc.contributor.committeemember	Ambagaspitiya, Rohana
dc.date	2024-02
dc.date.accessioned	2024-01-09T16:19:47Z
dc.date.available	2024-01-09T16:19:47Z
dc.date.issued	2024-01
dc.description.abstract	In financial investment, market trends are ubiquitous. Put simply, trending markets are characterized by changes in price that are persistent in time. In this research, we are interested in understanding the global properties of trending markets ex-post, as there is a shortage of research in this direction. The primary goal of our study is to provide a reliable approach for categorizing financial market trends by defining their strength and persistence. However, the noisy characteristics of financial data and the hidden character of a true market trend make this endeavor nontrivial. Towards this end, we use resampling techniques and establish empirical labeling algorithms in parallel with Hidden Markov models and Bayesian smoothing filtering to estimate the underlying structure and dynamics of market trends. From our results, we can comment on the market trend intensity and duration across various financial markets and asset classes. Here, we focus on labeling trends, as opposed to identifying them in real-time, as this can provide valuable diagnostic information ex-post about how the macroeconomic conditions of the market influences the dynamics and characteristics of trends.
dc.identifier.citation	Rumana, A. S. (2024). Trends in financial markets: uncovering the distribution of intensity and duration (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca.
dc.identifier.uri	https://hdl.handle.net/1880/117907
dc.language.iso	en
dc.publisher.faculty	Graduate Studies
dc.publisher.institution	University of Calgary
dc.rights	University of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.subject	Trend Analysis
dc.subject	Hidden Markov Model
dc.subject	Bayesian Filtering
dc.subject	Financial Market
dc.subject.classification	Education--Sciences
dc.title	Trends in financial markets: uncovering the distribution of intensity and duration
dc.type	master thesis
thesis.degree.discipline	Mathematics & Statistics
thesis.degree.grantor	University of Calgary
thesis.degree.name	Master of Science (MSc)
ucalgary.thesis.accesssetbystudent	I require a thesis withhold – I need to delay the release of my thesis due to a patent application, and other reasons outlined in the link above. I have/will need to submit a thesis withhold application.