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Conference Paper: An application of CUSUM Chart on financial trading

TitleAn application of CUSUM Chart on financial trading
Authors
Xin, LYu, PLHLam, K
KeywordsCUSUM chart
Filter trading rule
Markov switching model
Issue Date2013
PublisherIEEE Computer Society.
Citation
The 9th International Conference on Computational Intelligence and Security (CIS 2013), Emeishan, China, 14 -15 December 2013. In Conference Proceedings, 2013, p. 178-181 How to Cite?
DOI: http://dx.doi.org/10.1109/CIS.2013.44
AbstractThe applications of CUSUM quality control chart to financial markets is not new in literature. It has been shown that the filter trading rule is mathematically equivalent to the CUSUM quality control test as both are based on change point detection theory. Filter trading rule has been extensively studied in the field of testing the financial market efficiency. In this paper, we studied the filter trading rule under a model assumption of Markov switching model (MSM) which has become very popular in financial applications. From our studies, it is found that the filter trading rule may beat the buy-and-hold strategy when the two-regime MSM fit the asset returns well. © 2013 IEEE.
Persistent Identifierhttp://hdl.handle.net/10722/217715
ISBN
978-1-4799-2548-3
ISI Accession Number ID
WOS:000351209000037

 

DC FieldValueLanguage
dc.contributor.authorXin, L-
dc.contributor.authorYu, PLH-
dc.contributor.authorLam, K-
dc.date.accessioned2015-09-18T06:11:08Z-
dc.date.available2015-09-18T06:11:08Z-
dc.date.issued2013-
dc.identifier.citationThe 9th International Conference on Computational Intelligence and Security (CIS 2013), Emeishan, China, 14 -15 December 2013. In Conference Proceedings, 2013, p. 178-181-
dc.identifier.isbn978-1-4799-2548-3-
dc.identifier.urihttp://hdl.handle.net/10722/217715-
dc.description.abstractThe applications of CUSUM quality control chart to financial markets is not new in literature. It has been shown that the filter trading rule is mathematically equivalent to the CUSUM quality control test as both are based on change point detection theory. Filter trading rule has been extensively studied in the field of testing the financial market efficiency. In this paper, we studied the filter trading rule under a model assumption of Markov switching model (MSM) which has become very popular in financial applications. From our studies, it is found that the filter trading rule may beat the buy-and-hold strategy when the two-regime MSM fit the asset returns well. © 2013 IEEE.-
dc.languageeng-
dc.publisherIEEE Computer Society.-
dc.relation.ispartofCIS '13: Proceedings of the 2013 Ninth International Conference on Computational Intelligence and Security-
dc.rights2013 Ninth International Conference on Computational Intelligence and Security. Copyright © IEEE.-
dc.rights©2013 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.-
dc.subjectCUSUM chart-
dc.subjectFilter trading rule-
dc.subjectMarkov switching model-
dc.titleAn application of CUSUM Chart on financial trading-
dc.typeConference_Paper-
dc.identifier.emailYu, PLH: plhyu@hku.hk-
dc.identifier.emailLam, K: hrntlam@hkucc.hku.hk-
dc.identifier.authorityYu, PLH=rp00835-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1109/CIS.2013.44-
dc.identifier.scopuseid_2-s2.0-84900644140-
dc.identifier.hkuros251375-
dc.identifier.spage178-
dc.identifier.epage181-
dc.identifier.isiWOS:000351209000037-
dc.publisher.placeUnited States-
dc.customcontrol.immutablesml 151104-

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