In this paper, we consider the price trend model in which it is assumed that the time series of a security's prices contain a stochastic trend component which remains constant on each of a sequence of time intervals, with each interval having random duration. A quasi-maximum likelihood method is use
A note on constant proportion trading strategies
โ Scribed by Martin B. Haugh
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 347 KB
- Volume
- 39
- Category
- Article
- ISSN
- 0167-6377
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