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A markov-switching VSTOXX trading algorithm for enhancing EUR stock portfolio performance
ArticleAbstract: In the present paper, we test the benefit of using Markov-Switching models and volatility futures diPalabras claves:Active stock trading, Algorithmic trading, Markov-Switching GARCH, Volatility futures, Volatility hedging; active portfolio management, VSTOXX, VSTOXX futures tradingAutores:Galeana-Figueroa E., José Álvarez-García, la Torre-Torres O.D.Fuentes:scopusMarkov-switching stochastic processes in an active trading algorithm in the main Latin-American stock markets
ArticleAbstract: In the present paper, we review the use of two-state, Generalized Auto Regressive Conditionally HetePalabras claves:Active investment, Active stock trading, Algorithmic trading, Computational finance, Latin-American stock markets, Markov-switching, Markov-Switching GARCH, Markovian chainAutores:Galeana-Figueroa E., José Álvarez-García, la Torre-Torres O.D.Fuentes:scopusTesting an algorithm with asymmetric markov-switching garch models in us stock trading
ArticleAbstract: In the present paper, we extend the current literature in algorithmic trading with Markov-switchingPalabras claves:Active portfolio management, Algorithmic trading, behavioral finance, Equity trading, ETF, Informed traders, Markov-Switching GARCH, Mutual funds, Noisy traders, S&P 500Autores:Aguilasocho-Montoya D., José Álvarez-García, la Torre-Torres O.D.Fuentes:scopus