CUSUM method in predicting regime shifts and its performance in different stock markets allowing for transaction fees

DOI10.1080/02664760600708590MaRDI QIDQ3592604zbMATH OpenOpenAlexFDO

Authors

Publication date 13 September 2007

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664760600708590

zbMATH Keywords

CUSUMregime shiftsfinancial marketsSPCtransaction fees

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Cusum techniques for technical trading in financial markets
• Monitoring active portfolios using statistical process control
• SPC as a tool for creating a successful business measurement framework
• SPC—making it work for the gas transportation business

Cited in

(2)

• Cusum techniques for technical trading in financial markets
• Optimization designs of the combined Shewhart-CUSUM control charts

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