this paper we consider prospective decision rules that aim at extracting early signals about what decision to make, e.g. sell an asset. The decision rules are based on prospective monitoring of a statistic in order to detect a regime shift, e.g. a turn in the trend of asset prices. In the finance literature there are several suggested prospective decision rules that aim at detecting a turn in the price, for example the Filter rule and the rules that use moving averages. Another approach that has been proposed is the hidden Markov model (HMM) approach, where the price level is assumed to change between an upward and a downward trend according to a Markov chain. An approach not often used in a financial setting is statistical surveillance, wh...
Regulators’ early intervention is crucial when the financial system is experiencing difficulties. Fi...
Future stock prices depend on many internal and external factors that are not easy to evaluate. In t...
In financial investment, market trends are ubiquitous. Put simply, trending markets are characterize...
In many areas, it is important to detect turning points in time series early and without faults. Tur...
Financial trading rules have the aim of continuously evaluating available information in order to ma...
Systems for on-line detection of regime shifts are important, e.g. for making timely financial trans...
Recently, the financial market has become an area of increased research interest for mathematician a...
On-line monitoring of cyclical processes is studied. An important application is early prediction of...
This paper develops the model of Bicego, Grosso, and Otranto (2008) and applies Hidden Markov Models...
This paper presents Hidden Markov Models (HMM) approach for forecasting stock price for interrelated...
A Markov chain is a unique random variable because it is memoryless and the probability of moving to...
In this paper we consider the problem of determining the optimal time to buy an asset in a posi-tion...
This thesis explores the application of a probabilistic model\ud known as the Hidden Markov Model (H...
Introduction – All actors in the financial market strive towards earning risk-adjusted excess return...
The volatility of asset returns are important in finance. Different likelihood based methods of stat...
Regulators’ early intervention is crucial when the financial system is experiencing difficulties. Fi...
Future stock prices depend on many internal and external factors that are not easy to evaluate. In t...
In financial investment, market trends are ubiquitous. Put simply, trending markets are characterize...
In many areas, it is important to detect turning points in time series early and without faults. Tur...
Financial trading rules have the aim of continuously evaluating available information in order to ma...
Systems for on-line detection of regime shifts are important, e.g. for making timely financial trans...
Recently, the financial market has become an area of increased research interest for mathematician a...
On-line monitoring of cyclical processes is studied. An important application is early prediction of...
This paper develops the model of Bicego, Grosso, and Otranto (2008) and applies Hidden Markov Models...
This paper presents Hidden Markov Models (HMM) approach for forecasting stock price for interrelated...
A Markov chain is a unique random variable because it is memoryless and the probability of moving to...
In this paper we consider the problem of determining the optimal time to buy an asset in a posi-tion...
This thesis explores the application of a probabilistic model\ud known as the Hidden Markov Model (H...
Introduction – All actors in the financial market strive towards earning risk-adjusted excess return...
The volatility of asset returns are important in finance. Different likelihood based methods of stat...
Regulators’ early intervention is crucial when the financial system is experiencing difficulties. Fi...
Future stock prices depend on many internal and external factors that are not easy to evaluate. In t...
In financial investment, market trends are ubiquitous. Put simply, trending markets are characterize...