Mean-Reversion Trading under A Markov Chain Model

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：haruhana

【摘要】

：

　　This paper is concerned with a mean-reversion trading rule.In contrast to most market models treated in the literature,the underlying market is solely deter

【作者】

：

Zhang Qing Tie Jingzhi

【机构】

：

Univ.of Georgia

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　This paper is concerned with a mean-reversion trading rule.In contrast to most market models treated in the literature,the underlying market is solely determined by a two-state Markov chain.

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Mean-Reversion Trading under A Markov Chain Model

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