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

Article

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

Autores:

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

Fuentes:

scopus