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Using 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: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