Trend following trading under a regime switching model (Q3055872)
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scientific article; zbMATH DE number 5814404
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| default for all languages | No label defined |
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| English | Trend following trading under a regime switching model |
scientific article; zbMATH DE number 5814404 |
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Trend Following Trading under a Regime Switching Model (English)
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10 November 2010
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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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0.9019418954849244
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0.8785513043403625
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0.8469382524490356
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0.8235983848571777
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0.7964627742767334
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