Using Change-Point Detection to Identify Structural Changes in Stock Market: Application to Russell 2000Using Change-Point Detection to Identify Structural Changes in Stock Market: Application to Russell 2000
- Other Titles
- Using Change-Point Detection to Identify Structural Changes in Stock Market: Application to Russell 2000
- Authors
- 전상용; 류호선; 김영민; 오경주
- Issue Date
- May-2020
- Publisher
- 자연과학연구소
- Keywords
- Russell 2000; KOSPI; Ten-bagger; Stock market correlation; Investment
- Citation
- Quantitative Bio-Science, v.39, no.1, pp 61 - 69
- Pages
- 9
- Journal Title
- Quantitative Bio-Science
- Volume
- 39
- Number
- 1
- Start Page
- 61
- End Page
- 69
- URI
- https://scholarworks.bwise.kr/sch/handle/2021.sw.sch/19706
- DOI
- 10.22283/qbs.2020.39.1.61
- ISSN
- 2288-1344
2508-7185
- Abstract
- We term a stock that rises more than 10 times over a short period (less than 3 years) as a ten-bagger stock. Several tenbagger stocks have existed since the past, and will continue to do so. To identify the characteristics of the ten-bagger stocks that appeared since the early 2000s to the most recent ones, and ultimately, to predict future ten-bagger stocks, we tried to find a connection with the Russell 2000 index. We used Pettitt’s test to find the change-point in the Russell 2000 industry index and found a connection with the ten-bagger stocks. This study attempts to predict ten-bagger stocks through case analysis and draws two conclusions. Through this analysis, we could identify new growth sectors and stocks in KOSPI market such as 1st somatic analyzer, 1st lactic acid bacterium in 2012, 1st anode material company, 1st cathode material company, and No. 1 stomach anticancer drugs company in 2017.
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Collections - SCH Media Labs > Department of Big Data Engineering > 1. Journal Articles
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