Trend Following Trading under a Regime Switching Model (Q3055872)

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Trend Following Trading under a Regime Switching Model
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    Statements

    title
    Trend Following Trading under a Regime Switching Model (English)
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    author
    Min Dai
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    Qiji J. Zhu
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    publication date
    10 November 2010
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    zbMATH Keywords
    optimal stopping time
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    regime switching model
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    Wonham filter
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    trend following trading rule
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    Identifiers

    DOI
    10.1137/090770552
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    Mathematics Subject Classification ID
    91G80
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    93E11
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    93E20
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    zbMATH DE Number
    5814404
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