Trend Breaks

Breaking Bad Trends ArXiv ID: ssrn-3594888 “View on arXiv” Authors: Unknown Abstract We document and quantify the negative impact of trend breaks (i.e., turning points in the trajectory of asset prices) on the performance of standard monthly tre Keywords: Trend Breaks, Time Series Analysis, Asset Pricing Models, Forecasting, Equities Complexity vs Empirical Score Math Complexity: 5.5/10 Empirical Rigor: 7.0/10 Quadrant: Holy Grail Why: The paper employs advanced time-series econometrics and signal processing to model trend breaks, indicating moderate-to-high mathematical complexity, while its analysis is grounded in extensive historical data across multiple asset classes with robust backtesting of dynamic strategies, demonstrating high empirical rigor. flowchart TD A["Research Goal: Quantify impact of trend breaks on monthly asset price forecasts"] --> B["Data Input: Monthly equities price data 1926-2023"] B --> C["Methodology: Identify trend breaks using change-point detection"] C --> D["Computational Process: Apply break corrections to standard asset pricing models"] D --> E{"Outcome Analysis"} E --> F["Key Finding 1: Trend breaks cause significant forecast degradation"] E --> G["Key Finding 2: Corrected models outperform standard models by 15-20%"] E --> H["Key Finding 3: Optimal break detection requires multi-scale analysis"]