Documentos de la Torre-Torres O.D. | REDI

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Mostrando 4 resultados de: 4

Filtros aplicados

Palabras Claves: "Active portfolio management"

Subtipo de publicación

Publisher

Electronic Journal of Applied Statistical Analysis(1)

Revista Portuguesa de Estudos Regionais(1)

Área temáticas

Economía financiera(4)

Dirección general(2)

Ciencias de la Tierra de África(1)

Programación informática, programas, datos, seguridad(1)

Área de conocimiento

Año de Publicación

Origen

Palabras Claves

Algorithmic trading(2)

Automated trading strategy(1)

Black–Litterman(1)

EMU stock markets integration(1)

Evidence of stock market integration and short-term active portfolio opportunities in the emu countries with a gaussian markov-switching test

Abstract: In this paper we tested, with a two-regime Gaussian Markov-switching model, the weekly performance o

Palabras claves:

Active portfolio management, EMU stock markets integration, financial market integration, Markov-Switching models

Galeana-Figueroa E., José Álvarez-García, la Torre-Torres O.D.

Using Markov-Switching Models in US Stocks Optimal Portfolio Selection in a Black–Litterman Context (Part 1)

Abstract: In this study, we tested the benefit of using Markov-Switching (M-S) models to forecast the views of

Palabras claves:

Active portfolio management, Algorithmic trading, Black–Litterman, Markov-switching, mean–variance portfolio efficiency, optimal portfolio selection, optimal portfolio selection uncertainty

Del Río‐Rama M.d.l.C., Galeana-Figueroa E., José Álvarez-García, la Torre-Torres O.D.

Using Markov-Switching models in Italian, British, U.S. and Mexican equity portfolios: A performance test

Abstract: In this paper we test the use of Markov Switching models in equity trading strategies, following Bro

Palabras claves:

Active portfolio management, Automated trading strategy, Markov Switching Models, Warning systems

Galeana-Figueroa E., José Álvarez-García, la Torre-Torres O.D.

Testing an algorithm with asymmetric markov-switching garch models in us stock trading

Abstract: In the present paper, we extend the current literature in algorithmic trading with Markov-switching

Palabras claves:

Active portfolio management, Algorithmic trading, behavioral finance, Equity trading, ETF, Informed traders, Markov-Switching GARCH, Mutual funds, Noisy traders, S&P 500

Aguilasocho-Montoya D., José Álvarez-García, la Torre-Torres O.D.