Using a mean changing stochastic processes exit-entry model for stock market long-short prediction

Sebastien Lleo, Mikhail Zhitlukhin, William T. Ziemba

Year of publication:	[2021]
Authors:	Lleo, Sébastien ; Zhitlukhin, M. V. ; Ziemba, William T.
Publisher:	London : Systemic Risk Centre, The London School of Economics and Political Science
Subject:	mean changing model \| stochastic processes \| Apple Computer stock \| trendfollowing strategies \| bubble asset price exits \| stock market crashes \| errors in meanestimates \| portfolio optimization \| Covid-19 2020 era \| Portfolio-Management \| Portfolio selection \| Stochastischer Prozess \| Stochastic process \| Börsenkurs \| Share price \| Aktienmarkt \| Stock market \| Theorie \| Theory \| Spekulationsblase \| Bubbles \| Coronavirus \| CAPM \| Markov-Kette \| Markov chain \| Volatilität \| Volatility \| Finanzkrise \| Financial crisis

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Extent:	1 Online-Ressource (circa 51 Seiten) Illustrationen
Series:	SRC discussion paper : discussion paper series. - London : Systemic Risk Center, The London School of Economics and Political Science, ISSN 2054-538X, ZDB-ID 2956102-4. - Vol. no 109 (June 2021)
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

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