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

DOI10.1080/02664760600708590zbMATH Open1118.62364OpenAlexW2006343418MaRDI QIDQ3592604FDOQ3592604

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

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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)

Cites Work

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

Cited In (2)

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

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