The financial market dynamics can be characterized by macro-economic, micro-financial and market risk indicators, used as lead- ing indicators by market professionals. In this article, we propose a method to identify market states integrating two classification algorithms: a Ro- bust Kohonen Self-Organising Maps one and a CART one. After studying the market's states separation using the former, we use the latter to char- acterize the economic conditions over time and to compute the conditional probabilities of related market states.
['Patrick Kouontchou', 'Amaury Lendasse', 'Yoan Miche', 'Bertrand Maillet']
Forecasting Financial Markets with Classified Tactical Signals