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Title: A top-down approach to identifying bull and bear market states Authors:  Alan Hanna - Queens University Belfast (United Kingdom) [presenting]
Abstract: Bull and bear markets receive considerable media and academic attention. It is widely believed that such states are important determinants of wider market dynamics, yet no agreed definition exists. Frameworks are investigated for ex-post classification of asset prices in two-state (bull and bear) markets. A number of potential difficulties with existing methodologies are highlighted. A new, flexible, hierarchical methodology is proposed that addresses these issues and permits varying degrees of resolution, allowing secondary trends such as bear rallies to be incorporated. The methodology is shown to be optimal under one measure of performance.