Using Markov-switching models with Markov chain Monte Carlo inference methods in agricultural commodities trading

Article

Abstract: In this work, the use of Markov-switching GARCH (MS-GARCH) models is tested in an active trading alg

Palabras 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 processes

Autores:

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

Fuentes:

scopus