Trend following trading under a regime switching model
10.1137/090770552
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2014
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sg-nus-scholar.10635-1043972023-10-29T22:31:03Z Trend following trading under a regime switching model Dai, M. Zhang, Q. Zhu, Q.J. MATHEMATICS Optimal stopping time Regime switching model Trend following trading rule Wonham filter 10.1137/090770552 SIAM Journal on Financial Mathematics 1 1 780-810 2014-10-28T02:48:51Z 2014-10-28T02:48:51Z 2010 Article Dai, M., Zhang, Q., Zhu, Q.J. (2010). Trend following trading under a regime switching model. SIAM Journal on Financial Mathematics 1 (1) : 780-810. ScholarBank@NUS Repository. https://doi.org/10.1137/090770552 1945497X http://scholarbank.nus.edu.sg/handle/10635/104397 000208691600030 Scopus |
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National University of Singapore |
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NUS Library |
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Asia |
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Singapore Singapore |
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Optimal stopping time Regime switching model Trend following trading rule Wonham filter |
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Optimal stopping time Regime switching model Trend following trading rule Wonham filter Dai, M. Zhang, Q. Zhu, Q.J. Trend following trading under a regime switching model |
| description |
10.1137/090770552 |
| author2 |
MATHEMATICS |
| author_facet |
MATHEMATICS Dai, M. Zhang, Q. Zhu, Q.J. |
| format |
Article |
| author |
Dai, M. Zhang, Q. Zhu, Q.J. |
| author_sort |
Dai, M. |
| title |
Trend following trading under a regime switching model |
| title_short |
Trend following trading under a regime switching model |
| title_full |
Trend following trading under a regime switching model |
| title_fullStr |
Trend following trading under a regime switching model |
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Trend following trading under a regime switching model |
| title_sort |
trend following trading under a regime switching model |
| publishDate |
2014 |
| url |
http://scholarbank.nus.edu.sg/handle/10635/104397 |
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1781787877902909440 |