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 |
| Extent: | 1 Online-Ressource (circa 51 Seiten) Illustrationen |
|---|---|
| Series: | Discussion paper / LSE Financial Markets Group. - London : [Verlag nicht ermittelbar], ISSN 0956-8549, ZDB-ID 2240655-4. - Vol. [DP 831] SRC discussion paper ; 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 |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012534838