| 题名 | An application of CUSUM chart on financial trading |
| 作者 | |
| 发表日期 | 2013 |
| 会议名称 | 2013 9th International Conference on Computational Intelligence and Security |
| 会议录名称 | Proceedings - 9th International Conference on Computational Intelligence and Security, CIS 2013
 |
| ISBN | 9781479925483 |
| 页码 | 178-181 |
| 会议日期 | 14-15 December 2013 |
| 会议地点 | Emeishan, China |
| 摘要 | The applications of CUSUM quality control chart to financial markets is not new in literature. It has been shown that the filter trading rule is mathematically equivalent to the CUSUM quality control test as both are based on change point detection theory. Filter trading rule has been extensively studied in the field of testing the financial market efficiency. In this paper, we studied the filter trading rule under a model assumption of Markov switching model (MSM) which has become very popular in financial applications. From our studies, it is found that the filter trading rule may beat the buy-and-hold strategy when the two-regime MSM fit the asset returns well. © 2013 IEEE. |
| 关键词 | CUSUM chart Filter trading rule Markov switching model |
| DOI | 10.1109/CIS.2013.44 |
| URL | 查看来源 |
| 收录类别 | CPCI-S |
| 语种 | 英语English |
| WOS研究方向 | Computer Science |
| WOS类目 | Computer Science, Artificial Intelligence ; Computer Science, Information Systems ; Computer Science, Theory & Methods |
| WOS记录号 | WOS:000351209000037 |
| Scopus入藏号 | 2-s2.0-84900644140 |
| 引用统计 | |
| 文献类型 | 会议论文 |
| 条目标识符 | https://repository.uic.edu.cn/handle/39GCC9TT/9419 |
| 专题 | 个人在本单位外知识产出 |
| 作者单位 | 1.Faculty of Management and Administration,Macau University of Science and Technology,Macao 2.Department of Statistics and Actuarial Science,University of Hong Kong,Hong Kong |
| 推荐引用方式 GB/T 7714 | Xin, Ling,Yu, Philip L. H.,Lam, Kin. An application of CUSUM chart on financial trading[C], 2013: 178-181. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
学校主页 
图书馆
修改评论