The profitability in the FTSE 100 index: a new Markov chain approach

DOI10.1007/s10690-019-09282-4zbMath1437.91420OpenAlexW2973121708WikidataQ127291468 ScholiaQ127291468MaRDI QIDQ2180274

João Nicolau, Flavio Ivo Riedlinger

Publication date: 13 May 2020

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-019-09282-4

zbMATH Keywords

algorithmic tradingmultivariate Markov chainsFTSE 100data-snooping testMTD-probit

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Financial markets (91G15)

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