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

Sebastien Lleo, Mikhail Zhitlukhin, William T. Ziemba

Year of publication:	June 2021
Authors:	Lleo, Sébastien ; Zhitlukhin, M. V. ; Ziemba, William T.
Publisher:	[London] : [LSE Financial Markets Group]
Subject:	mean changing model \| stochastic processes \| Apple Computer stock \| trend following strategies \| bubble asset price exits \| stock market crashes \| errors in mean estimates \| portfolio optimization \| Covid-19 2020 era \| Portfolio-Management \| Portfolio selection \| Börsenkurs \| Share price \| Stochastischer Prozess \| Stochastic process \| Aktienmarkt \| Stock market \| Spekulationsblase \| Bubbles \| Schätztheorie \| Estimation theory \| Coronavirus \| CAPM \| Markov-Kette \| Markov chain \| Volatilität \| Volatility