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- Recession Model Forecast: 12-01-2020 | Trader Edge on Recession Model Forecast: 01-01-2020
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Tag Archives: recession modeling
Temporary Suspension of Recession Model Posts
In conjunction with the development of the AI Volatility Edge Platform, I have been working on a new options book for the past year. It is my most ambitious book to date, with extensive volatility research and modeling. To allow … Continue reading
Posted in AI Volatility Edge, Economic Indicators, Fundamental Analysis, Recession Forecasting Model
Tagged aggregate peak-trough model, aggregate recession model, Brian Johnson, diffusion index, recession forecast, recession modeling, recession models, Recession Slack Index, Trader Edge, TraderEdge
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A New Recession Slack Indicator
I introduced the topic of recession forecasting in late October. I have since developed several recession forecasting tools that I created by applying probit, logit, and neural network models to a diffusion index of economic and market-related variables. This article … Continue reading
Posted in Economic Indicators, Fundamental Analysis, In-Depth Article, Market Commentary, Market Timing, Recession Forecasting Model
Tagged diffusion index, recession forecast 2012, recession forecast models, recession forecasting, recession modeling, Recession Slack Index, trade, trader
31 Comments
U.S. Recession Risk Jumps 20% in November
I introduced the topic of recession forecasting in late October and have since developed several recession forecasting tools that I created by applying probit, logit, and neural network models to a diffusion index of economic and market-related variables. If you … Continue reading
Posted in Economic Indicators, Fundamental Analysis, Market Commentary, Market Timing, Recession Forecasting Model, Strategy Development
Tagged diffusion index, ECRI recession forecast, logit model, neural network models, probit model, recession forecast 2012, recession forecasting, recession modeling, trade, trader
1 Comment
Recession Model Improvements
I introduced the topic of recession forecasting in late October with a discussion of Capital Spectator’s Economic Trend index, which I used as a foundation for two new recession forecasting models. Last week I explained the potential limitations of forecasting … Continue reading
Recession Models and the Fiscal Cliff
Last week I introduced two new probit models to forecast recessions and the period between the market’s peak and trough associated with each recession – as defined by the National Bureau of Economic Research (NBER). In response to that article, … Continue reading
New Probit Models: U.S. Recession Risk is Currently Low
Last week I wrote about using statistical tools to forecast recessions and referenced James Picerno, who provided the inspiration for this idea through his articles on the Capital Spectator Economic Trend Index (CS-ETI) and the use of probit models to … Continue reading
Posted in Economic Indicators, Fundamental Analysis, In-Depth Article, Market Commentary, Market Timing, Recession Forecasting Model
Tagged economic cycle, economic cycle forecasting, probit model, recession, recession forecast 2012, recession forecasting, recession modeling, trader, traders
5 Comments
Forecasting Recessions is Easier than Modeling Asset Prices
In a recent post titled “ECRI Betrayed by Their Own Index,” I noted the apparent inconsistency between the Economic Cycle Research Institute’s (ECRI) current recession call and the recent strength of ECRI’s proprietary weekly leading indicators series. In response to … Continue reading
Posted in Economic Indicators, Fundamental Analysis, Market Commentary, Market Timing, Recession Forecasting Model, Strategy Development
Tagged Capital Spectator, diffusion index, economic cycle, market cycle, probit model, recession, recession forecasting, recession modeling, systematic strategy, trader, trading
5 Comments
Recession Model Forecast: 12-01-2020
I made a number of significant improvements to the recession model in January of 2020. If you missed the January recession model post, or if you would like to review the improvements to the models, please revisit the Recession Model … Continue reading →