Detecting market pattern changes: A machine learning approach

ABSTRACT

We train an artificial neural network (ANN) model to recognize the pattern of the financial market and use this model to detect whether and when the market pattern has changed. Over 2000–2021, we find that the market has experienced five significant changes. The timings of these changes coincide with critical historical events (e.g. Great Recession and COVID-19) and changes in the monetary policy regime. © 2021 Elsevier Inc.