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Markov-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:scopusUsing Markov-switching models with Markov chain Monte Carlo inference methods in agricultural commodities trading
ArticleAbstract: In this work, the use of Markov-switching GARCH (MS-GARCH) models is tested in an active trading algPalabras claves:Alpha creation, Commodities, Commodities market trading, Computational finance, Financial crisis, Financial market crisis pbkp_rediction, Markov Chain Monte Carlo, Markov-Switching GARCH, Markovian chain processesAutores:Aguilasocho-Montoya D., José Álvarez-García, la Torre-Torres O.D., Simonetti B.Fuentes:scopus