Trend Following Trading under a Regime Switching Model
时间: 2010-06-06  作者:   浏览次数: 4639
Title: Trend Following Trading under a Regime Switching Model
Speaker: Dai,　Min 　Dept of Math, National University of Singapore
Time：  2010年6月8（周二）日，下午３：0０至４：0０
地点：数学楼学术二楼报告厅
Abstract: We are concerned with the optimality of a trend following trading rule. The idea is to catch a bull market at its early stage, ride the trend, and liquidate the position at the first evidence of the subsequent bear market. We characterize the bull and bear phases of the markets mathematically using the conditional probabilities of the bull market given the up to date stock prices. The optimal buying and selling times are given in terms of a sequence of stopping times determined by two threshold curves. Numerical experiments are conducted to validate the theoretical results and demonstrate how they perform in a marketplace. This work is joint with Qing Zhang (The University of Georgia) and Qiji Zhu (Western Michigan University).