Evaluation of on-line trading systems: Markov-switching vs time-varying parameter models
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- 作者：Michele FornaciariAuthor Vitae ; Carlo Grillenzoni ; carlog@iuav.itAuthor Vitae
- 关键词：Gain maximization ; Maximum likelihood ; Recursive least squares ; Standard and Poor index ; State probabilities ; Sequential analysis
- 刊名：Decision Support Systems
- 出版年：2017
- 出版时间：January 2017
- 年：2017
- 卷：93
- 期：Complete
- 页码：51-61
- 全文大小：1351 K
- 卷排序：93
文摘
Development of sequential turning-point detection in financial time series On-line signaling based on state-probabilities and recursive parameter estimates Comparison of non-linear and non-parametric models for financial trading Local and global optimization of trading rules based on profit functions Sliding-window estimation of Markov-switching regression models