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Cusum Techniques for Technical Trading in Financial Markets

✍ Scribed by Kin Lam; H. C. Yam

Book ID
110275993
Publisher
Springer
Year
1997
Tongue
English
Weight
631 KB
Volume
4
Category
Article
ISSN
1573-6946

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In this paper we show that optimal trading results can be achieved if we can forecast a key summary statistic of future prices. Consider the following optimization problem. Let the return r i (over time i 1, 2, . . . , n) for the ith day be given and the investor has to make investment decision d i