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